کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1896872 1044464 2006 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Towards a non-linear trading strategy for financial time series
موضوعات مرتبط
مهندسی و علوم پایه فیزیک و نجوم فیزیک آماری و غیرخطی
پیش نمایش صفحه اول مقاله
Towards a non-linear trading strategy for financial time series
چکیده انگلیسی

A new trading strategy based on state space reconstruction techniques is proposed. The technique uses the state space volume evolution and its rate of change as indicators. This methodology has been tested off-line using eighteen high-frequency foreign exchange time series with and without transaction costs. In our analysis an optimum mean value of approximately 25% gain may be obtained in those series without transaction costs and an optimum mean value of approximately 11% gain assuming 0.2% of costs in each transaction.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Chaos, Solitons & Fractals - Volume 28, Issue 3, May 2006, Pages 601–615
نویسندگان
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