نتایج جستجو برای: trading strategy

تعداد نتایج: 362010  

2013

As early as 1900, Louis Bachelier had proposed using Brownian motion as a model for security prices. As insightful as it was, this model is somewhat re­ strictive. For example it allows stock price to be negative. A more appropriate and accepted model is to assume that stock prices follow a general Ito process Xt = X e t e t 0 + μsds + σ dB s s 0 0 , where μ, σ are adapted processes. Suppose we...

2003
Subramanian Ramamoorthy

The structure of the game is essentially as follows. The PXS (Penn Exchange Simulator) server provides an electronic exchange for Microsoft shares, ticker symbol MSFT. This electronic exchange is a hybrid of a real world electronic crossing network (ECN) within NASDAQ and an internal market of agents such as mine. The agents are software programs written to communicate in a client-server protoc...

2002
Nils Svangård Peter Nordin Clas Wihlborg

We have used a linear Genetic Programming system with a multitude of different quotes on financial securities as input in order to evolve an intraday trading strategy for an individual stock, attempting to outperform a simple buy and hold strategy over the same period of time.

2000
Milos Hauskrecht Luis E. Ortiz Ioannis Tsochantaridis Eli Upfal

The focus of this work is the computation of efficient strategies for commodity trading in a multi-market environment. In today’s "global economy" commodities are often bought in one location and then sold (right away, or after some storage period) in different markets. Thus, a trading decision in one location must be based on expectations about future price curves in all other relevant markets...

Journal: :تحقیقات مالی 0
عبدالرضا تالانه استادیار، حسابداری، دانشگاه آزاد اسلامی، فیروزکوه، ایران. محمد محمودی استادیار، حسابداری، دانشگاه آزاد اسلامی، فیروزکوه، ایران. کاوه شرفی کارشناس ارشد مدیریت بازرگانی گرایش مالی، دانشگاه آزاد اسلامی، فیروزکوه، ایران

this paper investigates the informational content of abnormal volume trading of shares listed at tehran stock exchange (tse) using an event study methodology. the results for a sample of 48 iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volume dates. regression analysis also shows that there is a significant relationship between trading...

2010
Dome Lohpetch David W. Corne

Genetic programming (GP) is increasingly popular as a research tool for applications in finance and economics. One thread in this area is the use of GP to discover effective technical trading rules. In a seminal article, Allen & Karjalainen (1999) used GP to find rules that were profitable, but were nevertheless outperformed by the simple “buy and hold” trading strategy. Many succeeding attempt...

2015
Georgios Sermpinis Andreas Karathanasopoulos Sovan Mitra Charalampos Stasinakis

The main motivation for this paper is to introduce a novel hybrid method for the prediction of the directional movement of financial assets with an application to the ASE20 Greek stock index. Specifically, we use an alternative computational methodology named Evolutionary Support Vector Machine (ESVM) Stock Predictor for modeling and trading the ASE20 Greek stock index extending the universe of...

2015
Manel HAMDI

This paper evaluates the weak-form efficiency of the crude oil markets using the artificial neural network (ANN) model. Based on the daily historical data of the West Texas Intermediate (WTI) crude oil spot price over the period (02 January 198631 December 2013), the model was trained using backpropagation algorithm. The output of the neural network represents the predicted prices which are con...

2005
Qiao Liu Rong Qi

We find that accruals mispricing is more pronounced for stocks with higher level of probability of informed trading (PIN). We interpret it as the evidence of informed traders using their proprietary information on accruals quality to trade against average investors. The informed traders’ arbitrage generates an annualized size and book-to-market adjusted abnormal return of 19.81% over the 1993-2...

2012
Konstantinos Theofilatos Spiros Likothanassis Andreas Karathanasopoulos

The present paper aims in investigating the performance of state-of-the-art machine learning techniques in trading with the EUR/USD exchange rate at the ECB fixing. For this purpose, five supervised learning classification techniques (K-Nearest Neighbors algorithm, Naïve Bayesian Classifier, Artificial Neural Networks, Support Vector Machines and Random Forests) were applied in the problem of t...

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