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

机译:CUSUM方法用于预测政权转移及其在不同股票市场中的表现(允许交易费用)

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摘要

The CUSUM chart detects changes in the process mean by accumulating the sum of deviation of observed sample means X_1,..., X_t from a reference value. The CUSUM function about reference value k at time t is S_t = sum from i = 1 to t of (X-bar_i - k) = S_(t-1) + (X-bar_t - k) with S_0 = 0. An upward shift is detected when S_t > = h or vice versa with S_t < = - h. The two parameters in the CUSUM plan are k and h. k is usually set at the process mean mu and h is taken as 10k, 20k,...50k. In this paper h = 10k since higher values of h incurred too many cycles.
机译:CUSUM图表通过累加观察到的样本平均值X_1,...,X_t与参考值的偏差之和来检测过程平均值的变化。关于在时间t的参考值k的CUSUM函数为S_t =从i = 1到(X-bar_i-k)= S_(t-1)+(X-bar_t-k)的t,S_0 = 0。当S_t> = h时检测到移位,反之亦然,S_t <=-h。 CUSUM计划中的两个参数是k和h。通常将k设置为过程平均值mu,将h设为10k,20k,... 50k。在本文中,h = 10k,因为较高的h值会导致过多的循环。

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