Andrada-Félix, Julián; Fernadez-Rodriguez, Fernando; … - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1160-1160
In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading...
