Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"Trading Signals"”.
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Application of machine learning : automated trading informed by event driven data
… used technical indicators alone to generate trading signals. In this paper, we build trading strategies by applying machine-learning techniques to both technical analysis indicators and market sentiment data. The resulting prediction models can be employed as an artificial trader used to …
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Uusing the KDJ as a trading strategy on biotech companies
… is the most commonly used model in quantitative trading. This model is associated with several factors, like ma5 and ma10 line. These factors are the most significant in stock markets. However, the disadvantages of this model are lag and inaccuracy. In this research, we get the historical and …
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Essays in Currency Markets
… chapter brings well-known, profitable currency trading signals to bear on the Meese-Rogoff puzzle (Meese and Rogoff (1983)), a robust finding regarding the difficulty of outperforming the random walk in forecasting nominal exchange rates in an out-of-sample fashion, particularly at short …
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Statistical arbitrage in South African equity markets
… process with one lag (or AR(1) process). Trading signals are generated based on the level of the residual process. This strategy is then evaluated over historical data for the South African equity market from 2001 to 2013 through backtesting. In addition the strategy is evaluated over data …
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Momentum Effects: Essays on Trading Rule Returns in G10 Currency Pairs
… chapter models the “survival” probabilities of trading signals obtained from a wide set of dual crossover moving average combinations. The application of statistical tools that stem from survival time analysis sheds light on the subject of market efficiency within the currency market. Empirical …
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Estrategias de trading con Time Series Momentum
… estimator and on the quality of the momentum trading signal. Using a dataset with intra-day quotes of 18 assets from May 2017 to May 2019, we investigate these dependencies and their relation to time-series momentum pro tability. Momentum trading signals generated by tting a linear trend on …
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Pairs trading: a copula approach
Pairs trading is an arbitrage strategy that involves identifying a pair of stocks known to move together historically and trading on them when relative mispricing occurs. The strategy involves shorting the overvalued stock and simultaneously going long on the undervalued stock and closing the …
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Does Pairs trading work on the Johannesburg Stock Exchange?
In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian …
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An empirical analysis of quantitative trading strategies
… of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been evolving rapidly in a few decades. They challenge the Efficient Market Hypothesis by trying to …
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Momentum trading strategy on the Johannesburg Stock Exchange
… of price and moving average encompasses trade signals being generated by a stock's price moving above or below a variable moving average. Returns to this strategy tend to be maximized when employing a short-term (20-day) moving average, with an annualised above market return of 14,9 achievable. …
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Transition equity markets of Central Europe: volatility, predictability, integration
… transition equity returns with simple technical trading rules. The application of the moving average trading rules to the data reveals that technical analysis helps to predict stock price changes. Firstly buy signals consistently generate higher returns than sell signals; secondly the returns …