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Ive Botunac, Jurica Bosna and Maja Matetic
Investment decision-makers increasingly rely on modern digital technologies to enhance their strategies in today?s rapidly changing and complex market environment. This paper examines the impact of incorporating Long Short-term Memory (LSTM) models into ...
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Minseok Kong and Jungmin So
There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL agents and make an ensemble with three different actor?critic algorithms: Advant...
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João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
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Francesco Carlier
Pág. 88 - 91
This paper is devoted to research the validity of options strategies with a particular emphasis on weekly options. The author proves that options, when traded successfully, could be a better substitute than buying or selling the underlying and that optio...
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Afiruddin Tapa,Soh Chuen Yean,Shahrul Nizam Ahmad
Pág. 149 - 153
This study examined the profitability of technical analysis using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity market. We investigates the performance of the original moving-av...
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Alex Garivaltis
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of ?universal portfolios?. I generalize Cover?s benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight b...
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Fabio Pizzutilo
Pág. 763 - 771
We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th...
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Yujie Fang, Juan Chen and Zhengxuan Xue
This paper takes 50 ETF options in the options market with high transaction complexity as the research goal. The Random Forest (RF) model, the Long Short-Term Memory network (LSTM) model, and the Support Vector Regression (SVR) model are used to predict ...
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Nelson Ferreira Fonseca,Wagner Moura Lamounier,Aureliano Angel Bressan
Pág. 243 - 265
This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and...
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Otabek Sattarov, Azamjon Muminov, Cheol Won Lee, Hyun Kyu Kang, Ryumduck Oh, Junho Ahn, Hyung Jun Oh and Heung Seok Jeon
The net profit of investors can rapidly increase if they correctly decide to take one of these three actions: buying, selling, or holding the stocks. The right action is related to massive stock market measurements. Therefore, defining the right action r...
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Gokcen Ogruk
Pág. 909 - 919
This paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate differentials and compares the performance statistics of them over the naive carry trade strategy with actual interest rates. Carry trade, a currency sp...
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Jesús Manuel Palma-Ruiz, Julen Castillo-Apraiz and Raúl Gómez-Martínez
Sustainable and responsible investing (SRI) is a strategy that seeks to combine both financial return and social good. The need to create and preserve SRI represents a key argument in investment decision-making, which leads other firms and investors to m...
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Andreas Mikkelsen,Frode Kjærland
Pág. 78 - 88
We study the performance of a high-frequency pairs trading strategy on the 100 most liq- uid stocks, in 15-minute intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016...
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Mansoor Maitah,Petr Procházka,Michal Cermak,Karel ?rédl
Pág. 176 - 178
This paper is focused on evaluating the trading rule of indicator Commodity Channel Index, using selected agricultural commodities. The reason of testing is that this indicator is calculated with respect to fluctuation of commodity market ? volatility. T...
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Hao Bai, Shihong Miao, Xiaohong Ran and Chang Ye
A virtual power plant takes advantage of interactive communication and energy management systems to optimize and coordinate the dispatch of distributed generation, interruptible loads, energy storage systems and battery switch stations, so as to integrat...
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Narendra Bhana
AbstractClosed-end investment funds listed on the Johannesburg Stock Exchange invariably trade at discounts from their net asset value. The purpose of this article is to test a series of trading rules to determine whether an investor can capitalize on th...
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N. Bhana
AbstractAlthough a great deal of trading in rights transactions takes place on the various stock exchanges of the world there is a dearth of empirical evidence which might determine an observable trading strategy related to such transactions. The traditi...
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N. Bhana
AbstractAlthough a great deal of trading in rights transactions takes place on the various stock exchanges of the world there is a dearth of empirical evidence which might determine an observable trading strategy related to such transactions. The traditi...
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Kamphol Panyagometh
Pág. 492 - 499
This research tested the investment strategy of Reinganum, which used value factors, momentum factors and size factors in the Stock Exchange of Thailand (SET) from 2002-2016. The results showed that value and momentum factors were able to excellently pro...
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