Data Snooping and Market-Timing Rule Performance

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Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Data Snooping and Market-Timing Rule Performance by : Andreas Neuhierl

Download or read book Data Snooping and Market-Timing Rule Performance written by Andreas Neuhierl and published by . This book was released on 2013 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We reassess the performance of market-timing rules when controlling for data-snooping biases. For the first time, a comprehensive set of simple and complex market-timing rules is examined and tested for statistical signi ficance, using the White (2000) 'Reality Check,quot; the Hansen (2005) SPA test, as well as their stepwise extensions by Romano and Wolf (2005) and Hsu et al. (2009). Even though individual market-timing rules signi ficantly outperform a buy-and-hold strategy at both daily and monthly frequencies when considered in isolation, their outperformance, generally, does not remain signi ficant after correcting for data snooping. Relative to the alternative of investing in the risk-free rate, however, we find signi ficant outperformance of the best rules, even after data-snooping adjustment, when testing at a monthly timing frequency.

Data-snooping, Technical Trading Rule Performance and the Bootstrap

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Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (45 download)

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Book Synopsis Data-snooping, Technical Trading Rule Performance and the Bootstrap by : Ryan Sullivan

Download or read book Data-snooping, Technical Trading Rule Performance and the Bootstrap written by Ryan Sullivan and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Data-snooping, Technical Trading Rule Performance and the Bootstrap

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Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.X/5 (6 download)

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Book Synopsis Data-snooping, Technical Trading Rule Performance and the Bootstrap by : Ryan Sullivan

Download or read book Data-snooping, Technical Trading Rule Performance and the Bootstrap written by Ryan Sullivan and published by . This book was released on 1998 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Timing with Moving Averages

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Publisher : Springer
ISBN 13 : 331960970X
Total Pages : 300 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Market Timing with Moving Averages by : Valeriy Zakamulin

Download or read book Market Timing with Moving Averages written by Valeriy Zakamulin and published by Springer. This book was released on 2017-11-17 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.

A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies

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ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies by : Valeriy Zakamulin

Download or read book A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies written by Valeriy Zakamulin and published by . This book was released on 2015 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the enormous current interest in market timing and a series of publications in academic journals, there is still lack of comprehensive research on the evaluation of the profitability of trading rules using methods that are free from the data-snooping bias. In this paper we utilize the longest historical dataset that spans 155 years and extend previous studies on the performance of moving average trading rules in a number of important ways. Among other things, we investigate whether overweighting the recent prices improves the performance of timing rules; whether there is a single optimal lookback period in each trading rule; and how accurately the trading rules identify the bullish and bearish stock market trends. In our study we, for the first time, use both the rolling- and expanding-window estimation scheme in the out-of-sample tests; study the performance of trading rules across bull and bear markets; and perform numerous robustness checks and tests for regime shifts in the stock market dynamics. Our main results can be summarized as follows: There is strong evidence that the stock market dynamics are changing over time. We find no statistically significant evidence that market timing strategies outperformed the market in the second half of our sample. Neither the shape of the weighting function nor the type of the out-of-sample estimation scheme allows a trader to improve the performance of timing rules. All market timing rules generate many false signals during both bullish and bearish stock market trends, yet these rules tend to outperform the market in bear states.

Technical Trading-Rule Profitability, Data Snooping, and Reality Check

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ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Technical Trading-Rule Profitability, Data Snooping, and Reality Check by : Min Qi

Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.

Market Timing and Moving Averages

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Publisher : Springer
ISBN 13 : 1137359838
Total Pages : 285 pages
Book Rating : 4.1/5 (373 download)

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Book Synopsis Market Timing and Moving Averages by : P. Glabadanidis

Download or read book Market Timing and Moving Averages written by P. Glabadanidis and published by Springer. This book was released on 2015-07-15 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.

Portfolio Construction, Measurement, and Efficiency

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Publisher : Springer
ISBN 13 : 3319339761
Total Pages : 480 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Portfolio Construction, Measurement, and Efficiency by : John B. Guerard, Jr.

Download or read book Portfolio Construction, Measurement, and Efficiency written by John B. Guerard, Jr. and published by Springer. This book was released on 2016-09-23 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Commodities

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Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

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Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules

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ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules by : Valeriy Zakamulin

Download or read book The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules written by Valeriy Zakamulin and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) "A Quantitative Approach to Tactical Asset Allocation" published in the Journal of Wealth Management). However, the ``too good to be true" reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future performance will be the same as the documented historical performance. We argue that the reported performance of market timing strategies usually contains a considerable data-mining bias and ignores important market frictions. To address these issues, we perform out-of-sample tests of these two timing models in which we account for realistic transaction costs. Our findings reveal that the performance of market timing strategies is highly overstated, to say the least.

Statistical Models and Methods for Financial Markets

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Publisher : Springer Science & Business Media
ISBN 13 : 0387778268
Total Pages : 363 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Statistical Models and Methods for Financial Markets by : Tze Leung Lai

Download or read book Statistical Models and Methods for Financial Markets written by Tze Leung Lai and published by Springer Science & Business Media. This book was released on 2008-07-25 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Timing is Everything

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ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Timing is Everything by : Chris Brooks

Download or read book Timing is Everything written by Chris Brooks and published by . This book was released on 2005 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following early failures, more recent empirical evidence has suggested that timing entries to and exits from equity markets may be feasible. A number of approaches to this most basic form of dynamic asset allocation are available, but which works best? This study investigates the relative profitability of several different methodologies using a very long dataset on the Samp;P 500. In order to overcome the accusations of data snooping and arbitrary parameter choice that beset much previous work in this area, we carefully consider whether the rule performance is sensitive to the specified user-adjustable parameters. We find that all but one of the approaches are able to beat a buy-and-hold equities strategy in risk-adjusted terms, although a strategy based on the difference between the earnings-price ratio and short term Treasury yields works best.

The Profitability of Technical Trading Rules in Us Futures Markets

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ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Profitability of Technical Trading Rules in Us Futures Markets by : Cheol-Ho Park

Download or read book The Profitability of Technical Trading Rules in Us Futures Markets written by Cheol-Ho Park and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period.

Reexamining the Profitability of Technical Analysis with Data Snooping Checks

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Reexamining the Profitability of Technical Analysis with Data Snooping Checks by : Po-Hsuan Hsu

Download or read book Reexamining the Profitability of Technical Analysis with Data Snooping Checks written by Po-Hsuan Hsu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we reexamine the profitability of technical analysis using White`s reality check and Hansen`s SPA test that correct the data snooping bias. Compared to previous studies, we study a more complete quot;universequot; of trading techniques, including not only simple rules but also complex trading strategies, and we test the profitability of these rules and strategies with four main indices. It is found that significantly profitable simple rules and complex trading strategies do exist in the data from relatively quot;youngquot; markets (NASDAQ Composite and Russell 2000) but not in the data from relatively quot;maturequot; markets [Dow Jones Industrial Average (DJIA) and Samp;P 500]. Moreover, after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods. It is also found that complex trading strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules.

Technical Analysis for Algorithmic Pattern Recognition

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Publisher : Springer
ISBN 13 : 3319236369
Total Pages : 213 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Technical Analysis for Algorithmic Pattern Recognition by : Prodromos E. Tsinaslanidis

Download or read book Technical Analysis for Algorithmic Pattern Recognition written by Prodromos E. Tsinaslanidis and published by Springer. This book was released on 2015-10-31 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of this book is to resolve deficiencies and limitations that currently exist when using Technical Analysis (TA). Particularly, TA is being used either by academics as an “economic test” of the weak-form Efficient Market Hypothesis (EMH) or by practitioners as a main or supplementary tool for deriving trading signals. This book approaches TA in a systematic way utilizing all the available estimation theory and tests. This is achieved through the developing of novel rule-based pattern recognizers, and the implementation of statistical tests for assessing the importance of realized returns. More emphasis is given to technical patterns where subjectivity in their identification process is apparent. Our proposed methodology is based on the algorithmic and thus unbiased pattern recognition. The unified methodological framework presented in this book can serve as a benchmark for both future academic studies that test the null hypothesis of the weak-form EMH and for practitioners that want to embed TA within their trading/investment decision making processes. ​

Data-snooping in Financial Markets

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Publisher :
ISBN 13 :
Total Pages : 764 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Data-snooping in Financial Markets by : Ryan Michael Sullivan

Download or read book Data-snooping in Financial Markets written by Ryan Michael Sullivan and published by . This book was released on 1998 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: