Chong, Terence Tai-Leung; Lam, Tau-Hing - In: Quantitative Finance 10 (2010) 9, pp. 1067-1076
Most of the existing technical trading rules are linear in nature. This paper investigates the predictability of nonlinear time series model based trading strategies in the U.S. stock market. The performance of the nonlinear trading rule is compared with that of the linear model based rules. It...