This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...