There are three fundamental ways of testing the validity of an investment algorithm against historical evidence: a) the walk-forward method; b) the resampling method; and c) the Monte Carlo method. By far the most common approach followed among academics and practitioners is the walk-forward...

Source guide for finance practitioners who invest in or give financial advice related to trend following strategy. Discusses trend following basics, theoretical foundations of trend following, trend following as an alternative asset class, benchmarking and factor decomposition, trend following...

In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...

U.S. equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless, a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. My analysis suggests that learning effects have reduced the manifestation of the...

We estimate the dynamics of recommendations by financial analysts, uncovering the determinants of inertia in their recommendations. We provide overwhelming evidence that analysts revise recommendations reluctantly, introducing frictions to avoid frequent revisions. More generally, we...

We estimate the dynamics of recommendations by financial analysts, uncovering the determinants of inertia in their recommendations. We provide overwhelming evidence that analysts revise recommendations reluctantly, introducing frictions to avoid frequent revisions. More generally, we...

This paper examines whether sell-side security analysts follow momentum or create momentum by themselves for recommending stocks. We employ an indirect method of testing the role of analysts by assigning projected recommendation scores for the neglected stocks to mitigate the so-called...

This research paper aim to examine the profitability of various kinds of oscillator used in technical analysis on market index of NSE (National Stock Exchange) S&P CNX NIFTY 50 during 2004-2014. We have selected the most commonly used three oscillators i.e., Stochastic oscillator, RSI Oscillator...

This study examines the responses of investor sentiment and stock market returns to announcements of changes in analyst recommendation as well as the effect of these announcements on the relationship between sentiment and stock returns. Investor sentiment is more sensitive to upgrade...