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首页> 外文期刊>Journal of applied statistics >CUSUM Method in Predicting Regime Shifts and its Performance in Different Stock Markets Allowing for Transaction Fees
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CUSUM Method in Predicting Regime Shifts and its Performance in Different Stock Markets Allowing for Transaction Fees

机译：CUSUM方法预测制度变动及其在不同股票市场中的表现（允许交易费用）

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摘要

Statistical Process Control (SPC) is a scientific approach to quality improvement in which data are collected and used as evidence of the performance of a process, organisation or set of equipment. One of the SPC techniques, the cumulative sum (CUSUM) method, first developed by E.S. Page (1961), uses a series of cumulative sums of sample data for online process control. This paper reviews CUSUM techniques applied to financial markets in several different ways. The performance of the CUSUM method in predicting regime shifts in stock market indices is then studied in detail. Research in this field so far does not take the transaction fees of buying and selling into consideration. As the study in this paper shows, the performances of the CUSUM when taking account of transaction fees are quite different to those not taking transaction fees into account. The CUSUM plan is defined by parameters h and k. Choosing the parameters of the method should be based on studies that take transaction fees into account. The performances of the CUSUM in different stock markets are also compared in this paper. The results show that the same CUSUM plan has remarkably different performances in different stock markets.
机译：统计过程控制（SPC）是一种科学的质量改进方法，其中收集数据并将其用作过程，组织或设备组性能的证据。 SPC技术之一是累加和（CUSUM）方法，最早由E.S.佩奇（Page）（1961）使用一系列样本数据的累积总和进行在线过程控制。本文以几种不同的方式回顾了应用于金融市场的CUSUM技术。然后详细研究了CUSUM方法在预测股市指数制度变动方面的性能。迄今为止，该领域的研究并未考虑买卖的交易费用。如本文的研究所示，CUSUM在考虑交易费用时的表现与未考虑交易费用的情况有很大不同。 CUSUM计划由参数h和k定义。选择该方法的参数应基于考虑交易费用的研究。本文还比较了CUSUM在不同股票市场上的表现。结果表明，同一CUSUM计划在不同股票市场上的表现明显不同。

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