RT Journal Article
SR Electronic
T1 Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 172
OP 197
DO 10.3905/jpm.2022.1.429
VO 49
IS 1
A1 Lleo, Sebastien
A1 Zhitlukhin, Mikhail
A1 Ziemba, William T.
YR 2022
UL http://jpm.pm-research.com/content/49/1/172.abstract
AB This article has a unique application to the study of mean-changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer stock (AAPL) and the broad S&P 500 Index (S&P 500) at good times and prices (long and short). Mean estimation is far more important to portfolio success than the estimation of variance or covariance. The idea in the stochastic-process model is to determine when the mean changes and then reverse the position direction. This was applied to AAPL in 2012 when its stock price rallied dramatically and then had a large fall, and to AAPL and the S&P 500 in the extremely difficult and volatile January to June 2020 period of COVID-19 and through 2021.