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The Journal of Portfolio Management

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Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction

Sebastien Lleo, Mikhail Zhitlukhin and William T. Ziemba
The Journal of Portfolio Management November 2022, 49 (1) 172-197; DOI: https://doi.org/10.3905/jpm.2022.1.429
Sebastien Lleo
is a professor of finance at NEOMA Business School in Reims, France
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Mikhail Zhitlukhin
is a research fellow at the Steklov Institute in Moscow, Russia
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William T. Ziemba
is an alumni professor emeritus of financial modeling and stochastic optimization at the University of British Columbia in Vancouver, BC, Canada, and a distinguished visiting research associate in the Systemic Risk Centre at the London School of Economics in London, UK
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Article Information

vol. 49 no. 1 172-197
DOI 
https://doi.org/10.3905/jpm.2022.1.429

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online November 1, 2022.

Article Versions

  • Latest version (September 27, 2022 - 03:30).
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© 2022 Pageant Media Ltd

Author Information

  1. Sebastien Lleo
    1. is a professor of finance at NEOMA Business School in Reims, France. (sebastien.lleo{at}NEOMA-bs.fr)
  2. Mikhail Zhitlukhin
    1. is a research fellow at the Steklov Institute in Moscow, Russia. (mikhailzh{at}mi-ras.ru)
  3. William T. Ziemba
    1. is an alumni professor emeritus of financial modeling and stochastic optimization at the University of British Columbia in Vancouver, BC, Canada, and a distinguished visiting research associate in the Systemic Risk Centre at the London School of Economics in London, UK. (wtzimi{at}mac.com)
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The Journal of Portfolio Management: 49 (1)
The Journal of Portfolio Management
Vol. 49, Issue 1
November 2022
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Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction
Sebastien Lleo, Mikhail Zhitlukhin, William T. Ziemba
The Journal of Portfolio Management Oct 2022, 49 (1) 172-197; DOI: 10.3905/jpm.2022.1.429

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Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction
Sebastien Lleo, Mikhail Zhitlukhin, William T. Ziemba
The Journal of Portfolio Management Oct 2022, 49 (1) 172-197; DOI: 10.3905/jpm.2022.1.429
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  • Article
    • Abstract
    • BUBBLELIKE MARKETS
    • CHANGEPOINT DETECTION AND BUBBLE MARKETS
    • BUBBLELIKE MARKETS CHALLENGE OUR ABILITY TO HAVE ACCURATE MEAN ESTIMATES IN PORTFOLIO-SELECTION PROBLEMS
    • A PRIMER ON CHANGEPOINT-DETECTION METHODS IN FINANCIAL TIME SERIES
    • BACKGROUND AND IMPORTANCE OF APPLE COMPUTER STOCK
    • PRICE HISTORY OF AAPL
    • APPLYING THE MODEL TO AAPL IN 2012
    • APPLYING THE MODEL IN THE 2020–2021 COVID-19 PERIOD
    • A TEST OF THE MEAN-CHANGING EXIT MODEL DURING THE JANUARY 1–MAY 31, 2020, COVID-19 PERIOD ON AAPL AND THE S&P 500
    • APPLYING THE MEAN-CHANGING MODEL TO PREVIOUS STOCK MARKET CRASHES: UNITED STATES, CHINA, AND ICELAND
    • THE GREAT CRASH IN 1929
    • THE 1987 CRASH OF THE S&P 500
    • THE 2000–2002 INTERNET BUBBLE CRASH
    • THE 2008 CRASH
    • THE 2007–2009 CRASH IN ICELAND
    • THE 2015 CRASH IN CHINA
    • CONCLUSION
    • REFERENCES
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