Correlated random walks provide an elementary model for processes that exhibit directional reinforcement behavior. This paper develops optimal multiple stopping strategies—buy/sell rules—for correlated random walks. The work extends previous results given in Allaart and Monticino (2001) by considering random step sizes and allowing possibly negative reinforcement of the walk’s current direction...

We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a change of numéraire (change of currency) technique when the underlying is only a local martingale ...

Recent studies in financial markets suggest that technical analysis can be a very useful tool in predicting the trend. Trading systems are widely used for market assessment. This paper employs a genetic algorithm to evolve an optimized stock market trading system. Our proposed system can decide a trading strategy for each day and produce a high profit for each stock. Our decision-making model i...

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The is performed utilizing multi-objective evolutionary algorithm on sample of S&P 100 constituents. Our procedure provides portfolios with better trade-offs compared to relevant benchmarks, regardless the selected subsamples and market conditions. superior performance our particularly pronounced...

The COVID-19 pandemic has caused severe disruption worldwide. We analyze the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. identify bull bear regimes their correction rally components, demonstrate our model’s performance in capturing periods of significant regime change, provide weekly forecasts that improve risk management inv...

In order to determine how much deterministic structure, if any, is present in the behavior of price yields for a stock index, the following practical investment problem is defined: Decide today whether to switch in or out of an S&P 500 index fund, where an initial $10,000 investment will be held for 13 weeks, after which the decision-making process is to be repeated. The alternative investment ...

Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights in...

technical analysis is the forecasting of future price movement based on an examination of past prices. some scientist found that the study of historical prices cannot predict future prices. in this research we intend to study which technical analysis tool is better for prediction of future price movement, for this purpose we are studying two the most strongest technical analysis tools is called...