Search Results - subject:"Trading strategies"

An analysis of commodity markets: What gain for investors?

Narayan, Paresh Kumar; Narayan, Seema; Sharma, Susan Sunila - In: Journal of Banking & Finance 37 (2013) 10, pp. 3878-3889

information on the futures market to devise trading strategies and make profits. In particular, dynamic trading strategies based … rules. Dynamic trading strategies suggest that all commodities are profitable and profits are dependent on structural breaks …

Persistent link: https://www.econbiz.de/10011065670

Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization

Sermpinis, Georgios; Theofilatos, Konstantinos; … - In: European Journal of Operational Research 225 (2013) 3, pp. 528-540

The motivation for this paper is to introduce a hybrid neural network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF–PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a neural network...

Persistent link: https://www.econbiz.de/10011052637

Time-consistent mean-variance portfolio selection in discrete and continuous time

Czichowsky, Christoph - In: Finance and Stochastics 17 (2013) 2, pp. 227-271

It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman’s optimality principle and therefore the usual dynamic programming approach fails. We develop a time-consistent formulation of this problem,...

Persistent link: https://www.econbiz.de/10010997077

Absence of arbitrage in a general framework

Sayit, Hasanjan - In: Annals of Finance 9 (2013) 4, pp. 611-624

possibilities in such markets can be excluded by suitably restricting the class of allowable trading strategies. In this note, we … simple trading strategies that require a minimal deterministic waiting time between any two trading dates. We present a …

Persistent link: https://www.econbiz.de/10010989105

Evolution of trading strategies in a market with heterogeneously informed agents

Hauser, Florian; Kaempff, Bob - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 575-607

applied to optimize the agents’ trading strategies. After optimization, insiders are the only agents able to generate small … systematic above-average returns. For all other agents, genetic programming finds a rich variety of trading strategies that are …

Persistent link: https://www.econbiz.de/10010849049

MARKET EFFICIENCY AND PROFITABILITY OF TECHNICAL TRADING RULES: EVIDENCE FROM VIETNAM

Metghalchi, Massoud - In: Journal of Prediction Markets 7 (2013) 2, pp. 11-27

We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012. The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each...

Persistent link: https://www.econbiz.de/10010850159

A genetic programming approach for EUR/USD exchange rate forecasting and trading

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

Persistent link: https://www.econbiz.de/10010249879

Model of financial crisis contagion : a survey-based simulation by means of the modified Kaplan-Meier survival plots

Roszkowska, Paulina; Prorokowski, Łukasz - In: Folia oeconomica Stetinensia : FOS 13 (2013) 1, pp. 22-55

Persistent link: https://www.econbiz.de/10010373472

Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio

Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320

Persistent link: https://www.econbiz.de/10010259395

GP algorithm versus hybrid and mixed neural networks

Dunis, Christian; Laws, Jason; Karathanasopoulos, Andreas - In: The European journal of finance 19 (2013) 3/4, pp. 180-205

Persistent link: https://www.econbiz.de/10010243660