Höchstötter, Markus; Safarian, Mher - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2014
We apply the well-known CUSUM and the Girshick-Rubin algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Frankfurt mid-day auction prices. We select optimal pairs of fixed thresholds for up- and down-movements from a pre-defined two-dimensional...