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Analysis of stochastic technical trading algorithms

Höchstötter, Markus; Safarian, Mher M.; Krumetsadik, Anna - 2016

We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of...

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