学 术 报 告
报 告 人：戴 民 教授（国立新加坡大学）
报告题目：Momentum Trading under a Regime Switching Model
报告时间：2009年6月26日（周五）下午3：00-4:00
报告地点：数学楼102室

Abstract: In this talk, we consider trading strategies in a regime switching market where the Markov regime switching process is unobservable. In terms of a nonlinear filtering technique, we formulate the problem as a system of two variational inequalities which gives rise to two free boundaries, standing for the optimal buy and sell boundaries. It turns out that the optimal strategies are momentum, which is more realistic than those in the existing literature. Numerical results are presented as well.