Trend following trading under a regime switching model

Min Dai, Qing Zhang, Qiji Zhu

Research output: Journal article publication › Journal article › Academic research › peer-review

81 Citations (Scopus)

Original language	English
Pages (from-to)	780-810
Number of pages	31
Journal	SIAM Journal on Financial Mathematics
Volume	1
Issue number	1
DOIs	https://doi.org/10.1137/090770552
Publication status	Published - 2010

More information

@article{5cc554fb74f8438b8dae25d6224a04e7,

title = "Trend following trading under a regime switching model",

author = "Min Dai and Qing Zhang and Qiji Zhu",

year = "2010",

doi = "10.1137/090770552",

language = "English",

volume = "1",

pages = "780--810",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics Publications",

number = "1",

}