Search Results - subject:"Trading Strategy"

Momentum and monthly effect: an anomaly within an anomaly!

Cakici, Nusret; Chatterjee, Sris - In: International Journal of Banking, Accounting and Finance 2 (2010) 2, pp. 176-192

effect seems to break down for momentum portfolios. This result has implications for implementing a portfolio trading … strategy based upon the momentum effect and the monthly effect. We further show that the profitability of momentum portfolios …

Persistent link: https://www.econbiz.de/10008755590

Efficient Trading Strategies in the Presence of Market Frictions

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

borrowing costs. We characterize the inefficiency cost of a trading strategy - its required investment minus the largest amount …

Persistent link: https://www.econbiz.de/10011166429

Efficient Trading Strategies in the Presence of Market Frictions.

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine - 2001

borrowing costs. We characterize the inefficiency cost of a trading strategy - its required investment minus the largest amount …

Persistent link: https://www.econbiz.de/10008520013

Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets

Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of Economics and Finance 2 (2001) 2, pp. 445-465

In this paper we study the expected utility maximization problem for discretetime incomplete financial markets. As shown by Xia and Yan (2000a, 2000b) in the continuous-time case, this problem can be solved by the martingale measure method. In a special discrete-time model, we explicitly work...

Persistent link: https://www.econbiz.de/10009144916

Designing short term trading systems with artificial neural networks

Vanstone, Bruce; Finnie, Gavin; Hahn, Tobias - 2009

methodology to create a short-term focused ANN which will enhance this trading strategy. The initial trading strategy and the ANN … enhanced trading strategy are comprehensively benchmarked both in-sample and out-of-sample, and the superiority of the …

Persistent link: https://www.econbiz.de/10009441622

Validation of Moving Average Trading Rules: Evidence From Hong Kong, Singapore, South Korea, Taiwan

Metghalchi, Massoud; Du, Jianjun; Ning, Yixi - In: Multinational Business Review 17 (2009) 3, pp. 101-122

rules are valid and indeed have predictive power. It is implied that the trading rules may be used to design a trading … strategy that will beat the buy‐and‐hold strategy in the Hong Kong, Singapore, South Korea, and Taiwan markets. The …

Persistent link: https://www.econbiz.de/10014931862

Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes

Leland, Hayne E. - Institute of Business and Economic Research (IBER), … - 1999

We examine the optimal trading strategy for an investment fund which in the absence of transactions costs would like to …

Persistent link: https://www.econbiz.de/10010537541

The low P/E effect and abnormal returns for Australian industrial firms

Kelly, Simone; McClean, Jenna; McNamara, Ray - 2008

hypothetical investors over the sample period (up to 12% per annum), not only provide support for a P/E based trading strategy, but … performance of Australian Industrial common stock and their P/E ratios in an attempt to uncover potential for a P/E based trading … strategy. The excess and differential returns of P/E ranked portfolios containing 1310 Industrial firms over a 9 year period …

Persistent link: https://www.econbiz.de/10009441755

Trading strategies based on term structure model residuals

Jankowitsch, Rainer; Nettekoven, Michaela - In: The European Journal of Finance 14 (2008) 4, pp. 281-298

The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore, the estimated interest rates should accurately explain the market prices of these bonds. However, nearly all empirical papers on interest rate...

Persistent link: https://www.econbiz.de/10005471846

A Model of Price, Volume, and Sequential Information

Zhang, Gaiyan - In: International Journal of Business and Economics 6 (2007) 3, pp. 207-223

dissemination speed of information are incorporated in price changes and volume accumulations simultaneously. A convergence trading … strategy is proposed based on a joint statistic of price and volume, which should help to improve the timing of market entry …

Persistent link: https://www.econbiz.de/10010837277