Sequential smoothing for turning point detection with application to financial decisions

نویسنده

  • Carlo Grillenzoni
چکیده

A fundamental problem in financial trading is the correct and timely identification of turning points in stock value series. This detection enables to perform profitable investment decisions, such as buying-at-low and selling-at-high. This paper evaluates the ability of sequential smoothing methods to detect turning points in financial time series. The novel idea is to select smoothing and alarm coefficients on the gain performance of the trading strategy. Application to real data shows that recursive smoothers outperform two-sided filters at the out-of-sample level.

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تاریخ انتشار 2012