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Article: Forecasting and trading strategies based on a price trend model
Title | Forecasting and trading strategies based on a price trend model |
---|---|
Authors | |
Keywords | Forecasting Moving averages Price trend model Trading rules |
Issue Date | 2000 |
Publisher | John Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966 |
Citation | Journal Of Forecasting, 2000, v. 19 n. 6, p. 485-498 How to Cite? |
Abstract | In this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is used to estimate the model parameters. Optimal one-step-ahead forecasts of returns are derived. The trading rule based on these forecasts is constructed and is found to bear similarity to a popular trading rule based on moving averages. When applying the methods to forecast the returns of the Hang Seng Index Futures in Hong Kong, we find that the performance of the newly developed trading rule is satisfactory. Copyright © 2000 John Wiley & Sons, Ltd. |
Persistent Identifier | http://hdl.handle.net/10722/82832 |
ISSN | 2023 Impact Factor: 3.4 2023 SCImago Journal Rankings: 0.885 |
References |
DC Field | Value | Language |
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dc.contributor.author | Kwan, JWC | en_HK |
dc.contributor.author | Lam, K | en_HK |
dc.contributor.author | So, MKP | en_HK |
dc.contributor.author | Yu, PLH | en_HK |
dc.date.accessioned | 2010-09-06T08:33:55Z | - |
dc.date.available | 2010-09-06T08:33:55Z | - |
dc.date.issued | 2000 | en_HK |
dc.identifier.citation | Journal Of Forecasting, 2000, v. 19 n. 6, p. 485-498 | en_HK |
dc.identifier.issn | 0277-6693 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82832 | - |
dc.description.abstract | In this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is used to estimate the model parameters. Optimal one-step-ahead forecasts of returns are derived. The trading rule based on these forecasts is constructed and is found to bear similarity to a popular trading rule based on moving averages. When applying the methods to forecast the returns of the Hang Seng Index Futures in Hong Kong, we find that the performance of the newly developed trading rule is satisfactory. Copyright © 2000 John Wiley & Sons, Ltd. | en_HK |
dc.language | eng | en_HK |
dc.publisher | John Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966 | en_HK |
dc.relation.ispartof | Journal of Forecasting | en_HK |
dc.rights | Journal of Forecasting. Copyright © John Wiley & Sons Ltd. | en_HK |
dc.subject | Forecasting | en_HK |
dc.subject | Moving averages | en_HK |
dc.subject | Price trend model | en_HK |
dc.subject | Trading rules | en_HK |
dc.title | Forecasting and trading strategies based on a price trend model | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0277-6693&volume=19&spage=485&epage=498&date=2000&atitle=Forecasting+and+trading+strategies+based+on+a+price+trend+model | en_HK |
dc.identifier.email | Yu, PLH: plhyu@hkucc.hku.hk | en_HK |
dc.identifier.authority | Yu, PLH=rp00835 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.scopus | eid_2-s2.0-8644234564 | en_HK |
dc.identifier.hkuros | 57085 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-8644234564&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 19 | en_HK |
dc.identifier.issue | 6 | en_HK |
dc.identifier.spage | 485 | en_HK |
dc.identifier.epage | 498 | en_HK |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Kwan, JWC=7102370478 | en_HK |
dc.identifier.scopusauthorid | Lam, K=36492945700 | en_HK |
dc.identifier.scopusauthorid | So, MKP=7004473851 | en_HK |
dc.identifier.scopusauthorid | Yu, PLH=7403599794 | en_HK |
dc.identifier.issnl | 0277-6693 | - |