Paired Trading Strategy Optimization Using the Reinforcement Learning Method: Intraday Data of Tehran Stock Exchange [PDF]
تحقیقات مالی, 2019 Objective: Paired trading is among the most well-known and oldest algorithmic trading systems. The efficiency and profitability of this system have been demonstrated in many studies conducted so far in financial markets.
Saeid Fallahpour, Hasan Hakimian
doaj +1 more source
Profitabilitas Strategi Momentum di Bursa Efek Indonesia (Periode Januari 2003 – Desember 2007)
Jurnal Siasat Bisnis, 2008 Momentum trading strategy present challenges to the concept of efficient market theory. Many studies investigate the profitability of momentum trading strategy in international and domestic equity market and evidence has shown that this strategy could ...
B Yuliarto Nugroho
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A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Risks, 2019 This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53 ...
Stanislaus Maier-Paape +2 more
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Investigating the Incremental Usefulness of Firm-Specific Differential Persistence of Earnings Components on Abnormal Excess Returns [PDF]
مجله دانش حسابداری, 2020 Objective: The purpose of this study is to examine the incremental usefulness of firm-specific differential persistence of earnings components on abnormal excess returns.
Noushin Ahmadi +2 more
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Investment in High Frequency Trading Technology: A Real Options Approach [PDF]
, 2018 This paper derives an optimal timing strategy for a regular slow trader considering investing in a high-frequency trading (HFT) technology. The market is fragmented, and slow traders compete with fast traders for trade execution.
Delaney, L.
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Energies, 2023 The Chinese government places significant importance on biomass energy due to its renewable and environmentally friendly attributes. However, the high cost of power generation poses a considerable hurdle to its development. This study aims to address the
Weiwei Yu, Weiqing Wang, Xiaozhu Li
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Equilibrium Price and Optimal Insider Trading Strategy Under Stochastic Liquidity with Long Memory [PDF]
Applied Mathematics and Optimization, 2019 In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process.
Ben-Zhang Yang, Xin‐Jiang He, N. Huang
semanticscholar +1 more source
Extending the Omega model with momentum and reversal strategies to intraday trading.
PLoS ONE, 2023 This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100.
Jing-Rung Yu +3 more
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Empirical Limitations on High Frequency Trading Profitability [PDF]
, 2010 Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures ...
Kearns, Michael +2 more
core +6 more sources
EnergiesFor several stakeholders, including market players, customers, grid operators, policy-makers, investors, and energy efficiency initiatives, having a precise estimate of power pricing is crucial.
D. Kılıç +2 more
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