The benefit of information reduction for trading strategies

Motivated by previous findings that discretization of financial time series can effectively filter the data and reduce the noise, this experimental study compares the trading performance of predictive models based on different modelling paradigms in a realistic setting. Different methods ranging from real-valued time series models to predictive models on a symbolic level are applied to predict the daily change in volatility of two major stock indices....

MoreLess

Year of publication:	2000-07-01
Authors:	Schittenkopf, Christian ; Dorffner, Georg ; Tiňo, Peter
Publisher:	Institut für Informationsverarbeitung und -wirtschaft <Wien>
Subject:	Optionspreistheorie \| Volatilität \| Kapitalmarkteffizienz \| Optionspreis \| option pricing \| Information \| information

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	374784 bytes 23 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen SFB Adaptive Information Systems and Modelling in Economics and Management Science / Report Series ; 2000, 45
Type of publication:	Book / Working Paper
Language:	English
Classification:	Subject matter and research method of business administration ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841653