Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets

Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets

In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico)...

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Bibliographic Details
Main Authors: Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, José Álvarez-García
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Mathematics
Subjects:
Markov-Switching
Markov-Switching GARCH
Markovian chain
algorithmic trading
active stock trading
active investment
Online Access:https://www.mdpi.com/2227-7390/8/6/942

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