The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data...

The motivation for this paper is to show that even a simple strategy based on conditional autocorrelation can give traders an edge. Our simple mean reversion strategy takes the position in a pair consisting of Exchange traded funds (ETFs) or shares based on the normalized previous period's...

The motivation for this paper is to show the usefulness of the information contained in the open-to-close (day) and close-to-open (night) periods compared to the more frequently used close-to-close period. To show this we construct two versions of a contrarian strategy, where the worst...

ABSTRACT This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions,...

This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999), divided into five families (filter rules, moving averages, support...

We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before...

This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, the paper applies an excessive out-of-sample...

Exploring the information contained in Commodity Futures Trading Commission's (CFTC) Commitments of Traders (COT) reports, this analysis investigates the forecasting ability of investor sentiment index in three major precious metal futures markets, namely, Gold, Silver, and Platinum. A strong...

ABSTRACT Equity block trade transactions per se directly relate to the valuation of a company's equity capital. These transactions are executed outside the continuous trading system and single price system, and involve trading of large volumes of shares at an agreed price. This paper...