Trend and volatility based DPPI strategy
A Volatility Based Contrarian Strategy In the German Stock Market
... The paper is constructed as follows. In Section 2, we describe relevant theory for understanding the implications of and the dominating arguments against a contrarian strategy. Theory from the behavioral school of ...
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Futures Trend Strategy Model Based on Recurrent Neural Network
... the trend and shock condition of the market and forecast the probability of daily index futures market trend strategy ...profit. Based on this probability, the suitability of the day for ...
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Using Neural Networks to Forecast Volatility for an Asset Allocation Strategy Based on the Target Volatility
... for volatility forecasting to enhance the ability of an asset allocation strategy based on the target ...target volatility level is achieved by dynamically allocating between a risky asset and ...
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Trend and Volatility in Wheat, Rice and Cotton Prices
... Increase in the world prices adversely affects the welfare of least developed countries that are net importer of food grains. India is a net exporter of agricultural products. Hence if all these related distortions are ...
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US Strategy Weekly Volatility
... is based on information obtained from sources believed to be reliable, but is not guaranteed as being accurate, nor is it a complete statement or summary of the securities, markets or developments referred to in ...
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Stock Market Volatility and Trading Strategy Based Factors. Bumjean Sohn
... empirically well-established factors. This issue is particularly relevant to Section 2. We expect to find the evidence that these factors contain information about the future stock market volatility. As was ...
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On XLE index constituents’ social media based sentiment informing the index trend and volatility prediction
... The above-mentioned works focused on employing machine learning methods to establish the predictive power of sentiment on the stock market trend. However, they failed short of analysing the statistical ...
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From thesis to trading: a trend detection strategy
... Simulation: estimate the future based on today. Popular among pricing models. Forward-looking information (option prices) is used in calibrating the parameters of a process under a pricing measure. These are then ...
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Boards engagement in strategy execution : an emerging trend in business strategy research
... Topic Based upon previous studies of Zahra and Pearce, 1989; Pearce and Zahra, 1992; Spira, & Bender, 2004; Huse, 2005, and recent studies of Chambers, 2015; Carneiro, 2015; Erbschloe, 2015, papers were retrieved ...
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Total Reward Strategy: A Human Resources Management Strategy Going with the Trend of the Times
... Among all kinds of budgets in an organization, remuneration cost remains a part of great importance. With the speedy update of the modern world, however, the traditional remuneration management has been facing great ...
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The Impact of Inflation Volatility on an Enterprise’s Innovation Strategy
... inflation volatility on an enterprise's innovation ...verified based on econometric modelling using methods and models for panel data: models with fixed effects, models with random effects, and a ...
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Measuring the success of a managed volatility investment strategy
... Measuring the things that you want to be managed We must start by reminding ourselves that even in a more traditional investment mandate, the market-based benchmark is more a reflection of what is realistically ...
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The Short-Term Counter-Trend Trading Strategy Guide
... Trading Strategy Guide | 15 People associate low volatility environments with strong equity performance, but the level of market noise has substantial impact on the returns of equities and the effectiveness ...
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GARCH-based Volatility Forecasts for Implied Volatility Indices
... The next question we have investigated is about the relative merits of the various models. In spite of the sample chosen for the ex–ante forecasting exercise which is lim- ited to a few months, the results show clearly ...
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Intelligent HEV Fuzzy Logic Control Strategy Based on Identification and Prediction of Drive Cycle and Driving Trend
... 5. Conclusion In this paper, we have presented a machine learning framework called MC_FRAME as a prediction model with a neural network NNET_SDC for the prediction of drive cycles and another neural network NNET_DT for ...
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Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
... non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor ...
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A Portfolio Insurance Strategy for Volatility Index (VIX) Futures
... actual volatility been ...of volatility. Resetting and Volatility Cap appear to be the least effective in a strong bull ...the volatility displays a strong up-trend consistently, ...
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Algorithmic trading strategy, based on GARCH (1, 1) volatility and volume weighted average price of asset
... be based on tomorrow’s closing price because we focus on out-of-sample prediction and we assume that we place our order to buy or sell immediately before the close of trading ...the strategy will be more ...
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The Economic Value of Volatility Timing Using a Range-based Volatility Model
... accurate volatility prediction will render the investors a way to adaptively adjust their portfolio positions to achieve a higher utility ...poor volatility prediction skill (or model) to another manager ...
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The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
... 4 in many states have quickly increased the demand for biofuels, particularly corn-based ethanol. The record high energy prices further pushed up the demand for corn which is the major feedstock of ethanol. The ...
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