A theoretical analysis of trading rules: an application to the moving average case with Markovian returns

DOI10.1080/135048697334791zbMath1009.91047OpenAlexW1968011150MaRDI QIDQ4541545

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Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334791

zbMATH Keywords

returnstrading rules

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (1)

Time series momentum trading strategy and autocorrelation amplification

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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