کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069231 | 1476982 | 2017 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Sampling frequency and the performance of different types of technical trading rules
ترجمه فارسی عنوان
فرکانس نمونه برداری و عملکرد انواع مختلف قوانین تجاری فنی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The predictive ability of technical trading rules has been studied in great detail however many papers group all technical trading rules together into one basket. We argue that there are two main types of technical trading rules, namely rules based on trend-following and mean reversion. Utilising high-frequency commodity ETF data, we show that mean-reversion based rules perform increasingly better as sampling frequencies increase and that conversely the performance of trend-following rules deteriorate at higher-frequencies. These findings are possibly related to noise created by high-frequency traders.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 22, August 2017, Pages 136-139
Journal: Finance Research Letters - Volume 22, August 2017, Pages 136-139
نویسندگان
Robert Hudson, Frank McGroarty, Andrew Urquhart,