کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961094 929782 2010 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration
چکیده انگلیسی
If transitory profitable trading opportunities exist, transaction filters mitigate trading costs. We use a dynamic programming framework to design an optimal filter that maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading opportunities, transaction cost, and standard deviation of shocks. For daily dollar-yen exchange trading, the optimal filter can be economically significantly different from a naïve filter equal to the transaction cost. The candidate trading strategies generate positive returns that disappear after transaction costs. However, when the optimal filter is used, returns after costs remain positive and higher than for naïve filters.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 129-156
نویسندگان
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