In this paper we investigate the profitability of non-linear trading rules based on nearest neighbor predictors. Applying this investment strategy to the New York Stock Exchange, our results suggest that, taking into account transaction costs, the non-linear trading rule is superior to a...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading...

An asset pricing model for a speculative financial market with fundamentalists and chartists is analysed. The model explains bursts of volatility in financial markets, which are not well explained by the traditional finance paradigms. Speculative bubbles arise as a complex non-linear dynamic...