Search Results - subject:"Trading strategies"

Wavelet Applications to Heterogeneous Agents Model

Vošvrda, Miloslav; Vácha, Lukáš - Institut ekonomických studií, Univerzita Karlova v Praze - 2006

replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market … strategies. This paper shows, by wavelets applications, strata influences of the trading strategies with the WOA. …

Persistent link: https://www.econbiz.de/10005067754

Targeting IPOs from the Central European emerging stock markets (CEESM) of Poland during the global financial crisis

Prorokowski, Lukasz - In: Qualitative Research in Financial Markets 5 (2013) 1, pp. 85-118

investments, especially during the global financial turmoil. On this occasion, the current paper advises on trading strategies …

Persistent link: https://www.econbiz.de/10014988303

A quantitative approach to Faber's tactical asset allocation

Marmi, Stefano; Pacati, Claudio; Renò, Roberto; Risso, … - In: International Journal of Computational Economics and … 3 (2013) 1/2, pp. 91-101

Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the … the performance of trading strategies. …

Persistent link: https://www.econbiz.de/10011145346

Constant-collateral pyramiding trading strategies in futures markets

Miles, Stan - In: Financial Markets and Portfolio Management 27 (2013) 4, pp. 381-396

This paper introduces constant-collateral pyramiding trading strategies, which can be implemented in the futures …

Persistent link: https://www.econbiz.de/10010863301

Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms

Wiesinger, J.; Sornette, D.; Satinover, J. - In: Computational Economics 41 (2013) 4, pp. 475-492

Using virtual stock markets with artificial interacting software investors, aka agent-based models, we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...

Persistent link: https://www.econbiz.de/10010866822

A Genetic Programming Approach for EUR/USD Exchange Rate Forecasting and Trading

Vasilakis, Georgios; Theofilatos, Konstantinos; … - In: Computational Economics 42 (2013) 4, pp. 415-431

The purpose of this article is to present a novel genetic programming trading technique in the task of forecasting the next day returns when trading the EUR/USD exchange rate based on the exchange rates of historical data. Aiming at testing its effectiveness, we benchmark the forecasting...

Persistent link: https://www.econbiz.de/10010866830

Economic significance of market timing rules in the Forward Freight Agreement markets

Nomikos, Nikos K.; Doctor, Kaizad - In: Transportation Research Part E: Logistics and … 52 (2013) C, pp. 77-93

it a good case for diversification and trading opportunities. We carry out a comprehensive study of quantitative trading … strategies in the FFA (Forward Freight Agreements) market on a wide variety of contracts and maturities with a number of trading …

Persistent link: https://www.econbiz.de/10010755041

Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method

Mankad, Shawn; Michailidis, George - In: Algorithmic Finance 2 (2013) 2, pp. 151-165

Not long ago securities were traded by human traders in face-to-face markets. The ecosystem of an open outcry market was well-known, visible to a human eye, and rigidly prescribed. Now trading is increasingly done in anonymous electronic markets where traders do not have designated functions or...

Persistent link: https://www.econbiz.de/10010933495

Mean–variance dominant trading strategies

Galvani, Valentina; Gubellini, Stefano - In: Finance Research Letters 10 (2013) 3, pp. 142-150

The paper examines the relative importance of ten anomaly-based trading strategies. We employ Mean Variance spanning … who employ dynamic trading strategies. …

Persistent link: https://www.econbiz.de/10010703275

Continuous time trading of a small investor in a limit order market

Kühn, Christoph; Stroh, Maximilian - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2011-2053

We provide a mathematical framework to model continuous time trading of a small investor in limit order markets. We show how elementary strategies can be extended in a suitable way to general continuous time strategies containing orders with infinitely many different limit prices. The general...

Persistent link: https://www.econbiz.de/10011065020