Ospina-Holguín, Javier Humberto; Padilla-Ospina, Ana Milena - In: Journal of business economics and management 23 (2022) 1, pp. 1-19
This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...
