CUSUM method in predicting regime shifts and its performance in different stock markets allowing for transaction fees

DOI10.1080/02664760600708590zbMath1118.62364OpenAlexW2006343418MaRDI QIDQ3592604

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Publication date: 13 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760600708590

zbMATH Keywords

regime shiftsCUSUMfinancial marketsSPCtransaction fees

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (1)

Optimization designs of the combined Shewhart-CUSUM control charts

Cites Work

• Unnamed Item
• Cusum techniques for technical trading in financial markets
• SPC as a tool for creating a successful business measurement framework
• SPC—making it work for the gas transportation business

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