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Multi-Asset Skewness Trading Strategy
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Working paper
Double Bottom Country Trading Strategy
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Modeling Multifactor Event Driven Trading Strategy
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Working paper
Return Dynamics and Trading Strategy in Alternative Trading Systems
In: The journal of trading: JOT, Band 7, Heft 3, S. 52-65
ISSN: 1559-3967
A Daily Trading Strategy in theETN Space
In: The journal of trading: JOT, Band 8, Heft 3, S. 57-67
ISSN: 1559-3967
Does Sentiment-Based Trading Strategy Yield Profits?
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Optimal trading strategy and supply/demand dynamics
In: NBER working paper series 11444
Short-Term Trading Strategy on G10 Currencies
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Working paper
Limitations of Quantitative Claims About Trading Strategy Evaluation
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Momentum trading strategy and investment horizon: an experimental study
In: Journal of economic studies, Band 39, Heft 1, S. 4-12
ISSN: 1758-7387
PurposeExisting empirical studies that document momentum trading strategies do not provide any insight on how investors choose the time horizon that is used to compute the past stock returns. Indeed, since past returns over overlapping time periods are positively correlated, it is hard to identify the exact historical time period on which investors base their trading strategies and to investigate whether such a period is unique. The purpose of this paper is to investigate this and reach some conclusions.Design/methodology/approachIn this paper the author uses experimental setting to analyze how investors choose which of the past returns to use as a basis for their trading strategies and whether this choice depends on their investment horizon. The advantage of this experimental setting over the existing empirical research is the ability to control for the investment horizon of the subjects and the ability to provide the subjects with a hand‐picked set of stocks with uncorrelated past returns over overlapping time periods. In the study subjects were asked to make short‐term investment decisions based on historical short‐term realized returns over two time intervals of different lengths. In each treatment the subjects were divided into two groups based on the lengths of their investment horizons, which were set to match the lengths of time intervals used to compute the historical returns.FindingsIt was found that subjects followed momentum trading strategies based on both historical returns provided to them and paid more attention to the historical returns over the shorter time period. In addition, some evidence was found that subjects with longer investment horizons rely less on momentum strategies.Originality/valueA wide sample was used to create an original set of observations and conclusions.
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A pairs trading strategy based on mixed copulas
In: The quarterly review of economics and finance, Band 87, S. 16-34
ISSN: 1062-9769
Derivative Trading Strategy of Bank Nifty - A Heuristic Model
In: RVIM Journal of Management Research, ISSN: 0974-6722, Vol. 13 | Issue 2 | July - December 2021, Page 5-17.
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