Search Results - subject:"Trading Strategy"

Optimal trade execution under endogenous order flow

Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023

trading strategy is of hyperbolic form if the feedback effect of current trading on future order flow is not too strong. If … increases, our strategy provides increasingly better performance than the commonly adopted trading strategy. The empirical …

Persistent link: https://www.econbiz.de/10014476807

An intelligent trading mechanism based on the group trading strategy portfolio to reduce massive loss by the grouping genetic algorithm

Hao, Cheng Chun; Chen, Yu-Hsuan; García Díaz, Vicente; … - In: Electronic commerce research 23 (2023) 1, pp. 3-42

Persistent link: https://www.econbiz.de/10014251581

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market

Chȩć, Katarzyna; Uniejewski, Bartosz; Weron, Rafał - In: Journal of commodity markets : JCM 37 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015329494

Embracing market dynamics in the post-COVID era : a data-driven analysis of investor sentiment and behavioral characteristics in stock index futures returns

Gao, Jie; Fan, Chunguo; Liu, Ting; Bai, Xiuran; Li, Wenyong - In: Omega : the international journal of management science 131 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015406586

Testing of a volatility-based trading strategy using behavioral modified asset allocation

Freibauer, Jonas; Grawert, Silja - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-20

(lower-risk and higher-risk) form the basis for testing our volatility-based trading strategy with different risk and loss …, and the risk and loss level underlying the trading strategy. We achieve this by using the riskier initial asset allocation … and applying our trading strategy with a risk and loss level of 10% each. In this case, a historical return of 326% could …

Persistent link: https://www.econbiz.de/10014332634

Optimal investment strategy for DC pension schemes under partial information

Ban, Manli; He, Hua; Liang, Xiaoqing - In: Risks : open access journal 10 (2022) 11, pp. 1-20

and trading strategy are derived. We further present the results for the constant relative risk aversion (CRRA) function …

Persistent link: https://www.econbiz.de/10014226044

Trading the FX volatility risk premium with machine learning and alternative data

Dierckx, Thomas; Davis, Jesse; Schoutens, Wim - In: The Journal of finance and data science : JFDS 8 (2022), pp. 162-179

develop trading strategies. Starting from a trading strategy that harvests the EUR/USD volatility risk premium by selling one …

Persistent link: https://www.econbiz.de/10014433693

Financial technical indicator and algorithmic trading strategy based on machine learning and alternative data

Frattini, Andrea; Bianchini, Ilaria; Garzonio, Alessio; … - In: Risks : open access journal 10 (2022) 12, pp. 1-24

The aim of this paper is to introduce a two-step trading algorithm, named TI-SiSS. In the first step, using some technical analysis indicators and the two NLP-based metrics (namely Sentiment and Popularity) provided by FinScience and based on relevant news spread on social media, we construct a...

Persistent link: https://www.econbiz.de/10014230864

Testing of a volatility-based trading strategy using behavioral modified asset allocation

Freibauer, Jonas; Grawert, Silja - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

Persistent link: https://www.econbiz.de/10013471451

A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy

Baranochnikov, Illia; Ślepaczuk, Robert - 2022

Persistent link: https://www.econbiz.de/10013473692