{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,11]],"date-time":"2026-04-11T12:56:51Z","timestamp":1775912211637,"version":"3.50.1"},"reference-count":83,"publisher":"MDPI AG","issue":"12","license":[{"start":{"date-parts":[[2021,12,6]],"date-time":"2021-12-06T00:00:00Z","timestamp":1638748800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Symmetry"],"abstract":"<jats:p>In the present paper, we extend the current literature in algorithmic trading with Markov-switching models with generalized autoregressive conditional heteroskedastic (MS-GARCH) models. We performed this by using asymmetric log-likelihood functions (LLF) and variance models. From 2 January 2004 to 19 March 2021, we simulated 36 institutional investor\u2019s portfolios. These used homogenous (either symmetric or asymmetric) Gaussian, Student\u2019s t-distribution, or generalized error distribution (GED) and (symmetric or asymmetric) GARCH variance models. By including the impact of stock trading fees and taxes, we found that an institutional investor could outperform the S&amp;P 500 stock index (SP500) if they used the suggested trading algorithm with symmetric homogeneous GED LLF and an asymmetric E-GARCH variance model. The trading algorithm had a simple rule, that is, to invest in the SP500 if the forecast probability of being in a calm or normal regime at t + 1 is higher than 50%. With this configuration in the MS-GARCH model, the simulated portfolios achieved a 324.43% accumulated return, of which the algorithm generated 168.48%. Our results contribute to the discussion on using MS-GARCH models in algorithmic trading with a combination of either symmetric or asymmetric pdfs and variance models.<\/jats:p>","DOI":"10.3390\/sym13122346","type":"journal-article","created":{"date-parts":[[2021,12,7]],"date-time":"2021-12-07T02:48:13Z","timestamp":1638845293000},"page":"2346","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Testing an Algorithm with Asymmetric Markov-Switching GARCH Models in US Stock Trading"],"prefix":"10.3390","volume":"13","author":[{"given":"Oscar V.","family":"De la Torre-Torres","sequence":"first","affiliation":[{"name":"Facultad de Contadur\u00eda y Ciencias Administrativas, Universidad Michoacana de San Nicol\u00e1s de Hidalgo (UMSNH), Morelia 58000, Mexico"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Dora","family":"Aguilasocho-Montoya","sequence":"additional","affiliation":[{"name":"Facultad de Contadur\u00eda y Ciencias Administrativas, Universidad Michoacana de San Nicol\u00e1s de Hidalgo (UMSNH), Morelia 58000, Mexico"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0056-5488","authenticated-orcid":false,"given":"Jos\u00e9","family":"\u00c1lvarez-Garc\u00eda","sequence":"additional","affiliation":[{"name":"Departamento de Econom\u00eda Financiera y Contabilidad, Instituto Universitario de Investigaci\u00f3n para el Desarrollo Territorial Sostenible (INTERRA), Facultad de Empresa Finanzas y Turismo, Universidad de Extremadura, Avd. de la Universidad, n\u00ba 47, 10071 C\u00e1ceres, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2021,12,6]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"34","DOI":"10.1086\/294743","article-title":"The Behavior of Stock-Market Prices","volume":"38","author":"Fama","year":"1965","journal-title":"J. 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