Search Results - subject:"Reversal effect"

Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?

Schulmeister, Stephan - 2008

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s....

Persistent link: https://www.econbiz.de/10011435253

The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2007

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, the latter by contrarian models. In total, the performance of 2,580 widely used models is analysed. When...

Persistent link: https://www.econbiz.de/10011435210

The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics

Schulmeister, Stephan - 2007

This study analyses the interaction between the aggregate trading behaviour of technical models and stock price fluctuations in the S&P 500 futures market. It examines 2,580 widely used trading systems based on 30-minutes prices. The sample comprises trend-following as well as contrarian models....

Persistent link: https://www.econbiz.de/10011435224

The Good, the bad, and the ugly: an inquiry into the causes and nature of credit cycles

Matsuyama, Kiminori - 2004

, the Good competes with the Bad, creating the credit reversal effect. By combining these two effects, this model generates …

Persistent link: https://www.econbiz.de/10010266314

The Good, The Bad, and The Ugly: An Inquiry into the Causes and Nature of Credit Cycles

Matsuyama, Kiminori - Center for Mathematical Studies in Economics and … - 2004

, the Good competes with the Bad, creating the credit reversal effect. By combining these two effects, this model generates …; with a high net worth, the Good competes with the Bad, creating the credit reversal effect. By combining these two effects … spillovers, credit multiplier effect, credit reversal effect, endogenous credit cycles, nonlinear dynamics, chaos, flip and …

Persistent link: https://www.econbiz.de/10005252306