Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction
提出一个均值变化随机过程模型，通过检测均值变化来反向操作，应用于苹果股票和标普500指数，在2012年及2020年新冠疫情期间验证了其有效性。
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.