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"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael - 2018
Persistent link: https://www.econbiz.de/10012153001
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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan; Ślepaczuk, Robert - 2022
Persistent link: https://www.econbiz.de/10012816711
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Beating the market?
Baumann, Michael - 2018
Persistent link: https://www.econbiz.de/10012183074
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Beating the market? : a mathematical puzzle for market efficiency
Baumann, Michael - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 279-325
Persistent link: https://www.econbiz.de/10013380568
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Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - 2017
We propose a dynamic Rational Expectations (RE) bubble model of prices with the intention to exploit it for and evaluate it on optimal investment strategies. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...
Persistent link: https://www.econbiz.de/10011865575
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Topological Data Analysis of Financial Time Series : Landscapes of Crashes
Gidea, Marian - 2018
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000 … can be used to detect early warning signals of imminent market crashes. We believe that this approach can be used beyond …
Persistent link: https://www.econbiz.de/10012934482
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been …
Persistent link: https://www.econbiz.de/10012237439
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Beyond Fama-French factors : alpha from short-term signals
Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117
Persistent link: https://www.econbiz.de/10014427369
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Applying a combined max-min simple moving average trading strategy to market indexes
Ren, Louie; Ren, Peter - In: Economics, management and financial markets 13 (2018) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10011891646
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Survival and pricing puzzles
Altieri, Michela; Nicodano, Giovanna - 2020
Persistent link: https://www.econbiz.de/10012297368