The examination of technical trading rules, time - series trading rules and combined technical and time - series trading rules, using DAX, CAC40, FTSE100, NASDAQ and S&P500
This thesis investigates the predictability of trading strategies in the European and American stock market from 2001 to 2013. More specific, we examine the indices CAC40, DAX, FTSE100, NASDAQ and S&P500 first with the simple moving averages, then with trading rules based on the forecasts of tim...
| Κύριος συγγραφέας: | |
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| Άλλοι συγγραφείς: | |
| Μορφή: | Thesis |
| Γλώσσα: | English |
| Έκδοση: |
2015
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| Θέματα: | |
| Διαθέσιμο Online: | http://hdl.handle.net/10889/8305 |
| Περίληψη: | This thesis investigates the predictability of trading strategies in the European and American stock market from 2001 to 2013. More specific, we examine the indices CAC40, DAX, FTSE100, NASDAQ and S&P500 first with the simple moving averages, then with trading rules based on the forecasts of time – series models and finally with the combination of the technical trading rules and time –series models. The significance of the examined trading rules tested with standard t – tests. The standard tests results show that technical trading rules are the most profitable strategy, second follows the combined and then the time – series rules as the least profitable trading strategy related to buy – and – hold strategy. |
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