trading strategies
Trading strategies of corporate insiders
... Our main finding is that insiders trade more slowly and break up trades into longer se- quences whenever multiple insiders trade at the same time, which is consistent with the predic- tions of liquidity-based models of ...
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Establishment of Trading Strategies with Value-at-Risk Models
... MDV trading strategy was significantly higher than that of DVaR and FTDM, but lower than that of ...other trading strategies during bull period; we should then avoid frequent trading during ...
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The price dynamics of common trading strategies
... This paper 2 investigates a simple behavioral model for the price dynamics of a few, common archetypal trading strategies. The goal is to understand how these strategies affect prices. There are ...
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On commodity trading strategies: momentum, term structure, maturity, indexation
... average trading costs per ...own trading flows. We limit our analysis of trading costs to the measurement of round-trip transaction costs, proxied by the bid– ask spread, and ignore our own possible ...
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The price dynamics of common trading strategies
... This paper 4 investigates a simple behavioral model for the price dynamics of a few, common archetypal trading strategies. The goal is to understand the signal processing properties of these ...
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Intangible Assets and Stock Trading Strategies
... To further test the intangibles effect on returns controlling for industry characteristics, in- vestment now is restricted to any one industry. The results of the within-industry trading strategies based on ...
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17 Proven Currency Trading Strategies. How to Profit in the Forex Market + Website. Wiley Trading
... natural trading style and which of five trading profiles he belongs to (Scalper, Day Trader, Swing Trader, Position Trader or Mechanical Trader) - 17 proven trading strategies (between 2 to 5 ...
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BOOTSTRAP TESTING OF TRADING STRATEGIES IN EMERGING BALKAN STOCK MARKETS
... table trading strategy and to reject the weak-form market effi ciency ...better trading performances are more possibly to appear in emerging stock ...
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Simulating the order book: a tool to discover trading strategies
... market trading strategies involving limit orders are dis- ...test trading strategies without the need for a fill model that can probabilistically tell if a given limit order would be filled in ...
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Trading Strategies for Sliding, Rolling-horizon, and Consol Bonds
... The time evolution of a sliding bond is studied in discrete- and continuous-time set-ups. By definition, a sliding bond represents the price process of a discount bond with a fixed time to maturity. Examples of ...
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Options trading strategies and equity risk premia
... The empirical analysis concentrates on the S&P 500 central moment risk premiums. Data on this index are taken from OptionMetrics and cover a period from March 1996 to January 2015. We construct three trading ...
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Computational intelligence algorithms for risk adjusted trading strategies
... In this work, we employ Genetic Programming (GP) to identify novel trading strategies based only on the informa- tion contained in the history of past price movements. GP can be considered as a ...
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Assessing the Risks of Trading Strategies Using Acceptability Indices
... The rest of the paper is organized as follows: Section 2 looks at the problem of pricing in incomplete markets. Section 3 gives an overview of risk measures and pre- sents new acceptability indices based on the family of ...
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Trading strategies in the Italian interbank market
... We investigated the Italian segment of the European money market over the period 1999-2002 using a unique data-set from which it is possible to reconstruct the trad- ing strategy of each participating bank. We used the ...
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Two methods for optimal investment with trading strategies of finite variation
... the trading strategies of these portfolios are constrained to be of a finite ...constrained trading strategy, and thus penalizes the shortfall ...the trading strategy is also included in the ...
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Trading strategies in futures markets
... the trading strategies across the total sample period divided in three subperiods (1982-1992, 1992-2002, and ...Second, trading returns are regressed on lagged values of common systematic variables ...
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Trading strategies in the Italian interbank market
... bank trading strategies, and (right) the average positive and negative cor- relation among all ...the trading strategy ¯ V i , whenever a bank increases its cumulative volume, there is a bank which ...
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Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies
... whose strategies, when present alone on the market, lead to systems possessing stable fixed points, lead, when present together, to a system that does not possess any stable fixed ...
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FE670 Algorithmic Trading Strategies. Stevens Institute of Technology
... Portfolio trading is sometimes referred to as basket or program trading. It provides investors with a cost-effective means of trading multiple assets, rather than having to trade them individually. ...
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Trading strategies with implied forward credit default swap spreads
... paired trading strategy will not produce significant NCPL results generated by a buy and hold ...dynamic trading strategy to be able to adjust to the flow of information and still identify trading ...
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