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Analysis of stochastic technical trading algorithms

Höchstötter, Markus; Safarian, Mher; Krumetsadik, Anna

Abstract:

We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir-Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.


Volltext §
DOI: 10.5445/IR/1000055429
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Volkswirtschaftslehre (ECON)
Publikationstyp Forschungsbericht/Preprint
Publikationsjahr 2016
Sprache Englisch
Identifikator ISSN: 2190-9806
urn:nbn:de:swb:90-554293
KITopen-ID: 1000055429
Verlag Karlsruher Institut für Technologie (KIT)
Umfang 17,16 S.
Serie Working paper series in economics ; 91
Schlagwörter CUSUM, Girshick-Rubin, Graversen-Peskir-Shiryaev, Brodsky-Darkovsky, trading algorithm, DAX
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