{"id":"https://openalex.org/W2070173176","doi":"https://doi.org/10.1137/090770552","title":"Trend Following Trading under a Regime Switching Model","display_name":"Trend Following Trading under a Regime Switching Model","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2070173176","doi":"https://doi.org/10.1137/090770552","mag":"2070173176"},"language":"en","primary_location":{"id":"doi:10.1137/090770552","is_oa":true,"landing_page_url":"https://doi.org/10.1137/090770552","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/090770552","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://epubs.siam.org/doi/pdf/10.1137/090770552","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5077020574","display_name":"Min Dai","orcid":"https://orcid.org/0000-0002-8270-9413"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"M. Dai","raw_affiliation_strings":["matdm@nus.edu.sg#TAB#"],"affiliations":[{"raw_affiliation_string":"matdm@nus.edu.sg#TAB#","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5088997550","display_name":"Q. Zhang","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Q. Zhang","raw_affiliation_strings":["qingz@math.uga.edu#TAB#"],"affiliations":[{"raw_affiliation_string":"qingz@math.uga.edu#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049737313","display_name":"Qiji Jim Zhu","orcid":"https://orcid.org/0000-0002-2733-5914"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Q. J. Zhu","raw_affiliation_strings":["[email\u00a0protected]#TAB#"],"affiliations":[{"raw_affiliation_string":"[email\u00a0protected]#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5077020574"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.3093,"has_fulltext":false,"cited_by_count":126,"citation_normalized_percentile":{"value":0.96970051,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":"1","issue":"1","first_page":"780","last_page":"810"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6262062788009644},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6021502017974854},{"id":"https://openalex.org/keywords/position","display_name":"Position (finance)","score":0.5123780965805054},{"id":"https://openalex.org/keywords/sequence","display_name":"Sequence (biology)","score":0.5104943513870239},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.49954652786254883},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4765870273113251},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.47430896759033203},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.47388213872909546},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.45925137400627136},{"id":"https://openalex.org/keywords/conditional-expectation","display_name":"Conditional expectation","score":0.44899457693099976},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.4150032699108124},{"id":"https://openalex.org/keywords/trend-following","display_name":"Trend following","score":0.4120199382305145},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3227337896823883},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.1834874451160431},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11939096450805664}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6262062788009644},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6021502017974854},{"id":"https://openalex.org/C198082294","wikidata":"https://www.wikidata.org/wiki/Q3399648","display_name":"Position (finance)","level":2,"score":0.5123780965805054},{"id":"https://openalex.org/C2778112365","wikidata":"https://www.wikidata.org/wiki/Q3511065","display_name":"Sequence (biology)","level":2,"score":0.5104943513870239},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.49954652786254883},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4765870273113251},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.47430896759033203},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47388213872909546},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.45925137400627136},{"id":"https://openalex.org/C186215838","wikidata":"https://www.wikidata.org/wiki/Q772232","display_name":"Conditional expectation","level":2,"score":0.44899457693099976},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.4150032699108124},{"id":"https://openalex.org/C186797051","wikidata":"https://www.wikidata.org/wiki/Q60738868","display_name":"Trend following","level":2,"score":0.4120199382305145},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3227337896823883},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.1834874451160431},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11939096450805664},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/090770552","is_oa":true,"landing_page_url":"https://doi.org/10.1137/090770552","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/090770552","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/104397","is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/104397","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Scopus","raw_type":"Article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.524.9143","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.524.9143","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://homepages.wmich.edu/~zhu/papers/DaiZhangZhu.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.1137/090770552","is_oa":true,"landing_page_url":"https://doi.org/10.1137/090770552","pdf_url":"https://epubs.siam.org/doi/pdf/10.1137/090770552","source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2070173176.pdf","grobid_xml":"https://content.openalex.org/works/W2070173176.grobid-xml"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W191766082","https://openalex.org/W347146154","https://openalex.org/W1518792628","https://openalex.org/W1582310551","https://openalex.org/W1591710988","https://openalex.org/W1963921091","https://openalex.org/W1981768388","https://openalex.org/W2006925522","https://openalex.org/W2014680735","https://openalex.org/W2035008932","https://openalex.org/W2047188539","https://openalex.org/W2054756613","https://openalex.org/W2056151499","https://openalex.org/W2056275876","https://openalex.org/W2060564694","https://openalex.org/W2069730798","https://openalex.org/W2077216271","https://openalex.org/W2085096176","https://openalex.org/W2099264463","https://openalex.org/W2125067373","https://openalex.org/W2141436719","https://openalex.org/W2167202163","https://openalex.org/W2170924674","https://openalex.org/W2182507443","https://openalex.org/W3121153783","https://openalex.org/W3123697738","https://openalex.org/W3124366669"],"related_works":["https://openalex.org/W4385489135","https://openalex.org/W2392556764","https://openalex.org/W4224329202","https://openalex.org/W4300619693","https://openalex.org/W2988746083","https://openalex.org/W3209680969","https://openalex.org/W2523594540","https://openalex.org/W2341687251","https://openalex.org/W2346867744","https://openalex.org/W2803300978"],"abstract_inverted_index":{"This":[0],"paper":[1],"is":[2,15],"concerned":[3],"with":[4],"the":[5,26,30,33,37,43,49,53,57,61,94],"optimality":[6],"of":[7,36,48,56,77,80],"a":[8,18,78,103],"trend":[9],"following":[10],"trading":[11],"rule.":[12],"The":[13,67],"idea":[14],"to":[16,63,92],"catch":[17],"bull":[19,44,58],"market":[20,59],"at":[21,32],"its":[22],"early":[23],"stage,":[24],"ride":[25],"trend,":[27],"and":[28,45,70,97],"liquidate":[29],"position":[31],"first":[34],"evidence":[35],"subsequent":[38],"bear":[39,46],"market.":[40],"We":[41],"characterize":[42],"phases":[47],"markets":[50],"mathematically":[51],"using":[52],"conditional":[54],"probabilities":[55],"given":[60,74],"up":[62],"date":[64],"stock":[65],"prices.":[66],"optimal":[68],"buying":[69],"selling":[71],"times":[72,82],"are":[73,90],"in":[75,102],"terms":[76],"sequence":[79],"stopping":[81],"determined":[83],"by":[84],"two":[85],"threshold":[86],"curves.":[87],"Numerical":[88],"experiments":[89],"conducted":[91],"validate":[93],"theoretical":[95],"results":[96],"demonstrate":[98],"how":[99],"they":[100],"perform":[101],"marketplace.":[104]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":11},{"year":2023,"cited_by_count":14},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":12},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":12},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":9},{"year":2013,"cited_by_count":11},{"year":2012,"cited_by_count":4}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}