Similar Search Results

Modelling and trading the English stock market with new forecasting techniques

Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57

The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...

Persistent link: https://www.econbiz.de/10011573208

Optimal execution of multiasset block orders under stochastic liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - 2010

Persistent link: https://www.econbiz.de/10008748180

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

Persistent link: https://www.econbiz.de/10014541693

Asset allocation and multivariate position based trading

Pape, Bernd - In: Journal of economic interaction and coordination : JEIC 2 (2007) 2, pp. 163-193

Persistent link: https://www.econbiz.de/10003580915

Modelling and trading the English and German stock markets with novelty optimization techniques

Karathanasopoulos, Andreas; Mitra, Sovan; Skindilias, … - In: Journal of forecasting 36 (2017) 8, pp. 974-988

Persistent link: https://www.econbiz.de/10011860938

Forecasting of future stock prices using neural networks and genetic algorithms

Mitilineos, Stelios A.; Artikis, Panayiotis G. - In: International journal of decision sciences, risk and … 7 (2017) 1/2, pp. 2-25

Persistent link: https://www.econbiz.de/10011797297

Allocation of Stocks in a Portfolio Using Antlion Algorithm : Investor's Perspective

Kaushal, Kshma - 2018

An investment is a commitment of funds made in the expectation of some positive rate of return. A fundamental principle of investments is diversification, where investors diversify their investments into different types of financial assets. The different stocks can be clubbed in one portfolio....

Persistent link: https://www.econbiz.de/10012921823

Markowitz mean-variance portfolio optimization with predictive stock selection using machine learning

Apichat Chaweewanchon; Rujira Chaysiri - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-19

With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine...

Persistent link: https://www.econbiz.de/10013368389

The robust Merton problem of an ambiguity averse investor

Biagini, Sara; Pınar, Mustafa Ç. - In: Mathematics and financial economics 11 (2017) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011900505

Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

Persistent link: https://www.econbiz.de/10013166371