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...
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| Γλώσσα: | English |
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2015
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| Διαθέσιμο Online: | http://hdl.handle.net/10889/8305 |
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nemertes-10889-83052022-09-05T14:09:19Z 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 Σκέντζου, Δέσποινα Συριόπουλος, Κώστας Μαρούδας, Λεωνίδας Γεωργόπουλος, Αντώνιος Skentzou, Despoina Trading rules Technical analysis AR-GARCH models Predictability Combining forecasts Στρατηγική διακράτησης Πρόγνωση 332.64 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. Σκοπός της παρούσας εργασίας είναι η διερεύνηση της προβλεπτικής δυνατότητας στρατηγικών επενδύσεων που εφαρμόζονται στην Ευρωπαϊκή και Αμερικάνικη χρηματιστηριακή αγορά, για τη χρονική περίοδο 2001-2013. Πιο συγκεκριμένα θα εξετασθούν οι δείκτες CAC 40, DAX, FTSE 100, NASDAQ και S&P 500, με κανόνες κινητών μέσων όρων, με κανόνες που βασίζονται σε μοντέλα πρόβλεψης χρονολογικών σειρών και με κανόνες συνδυαστικών των δύο ανωτέρω. Οι παραπάνω στρατηγικές θα συγκριθούν με την στρατηγική διακράτησης (Buy-and-Hold), που έχει ορισθεί ως benchmark στρατηγική και η σημαντικότητα των αποτελεσμάτων θα εξετασθεί με στατιστικούς ελέγχους t-statistics. 2015-02-05T15:34:01Z 2015-02-05T15:34:01Z 2014-10-29 2015-02-05 Thesis http://hdl.handle.net/10889/8305 en 0 application/pdf |
| institution |
UPatras |
| collection |
Nemertes |
| language |
English |
| topic |
Trading rules Technical analysis AR-GARCH models Predictability Combining forecasts Στρατηγική διακράτησης Πρόγνωση 332.64 |
| spellingShingle |
Trading rules Technical analysis AR-GARCH models Predictability Combining forecasts Στρατηγική διακράτησης Πρόγνωση 332.64 Σκέντζου, Δέσποινα 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 |
| description |
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. |
| author2 |
Συριόπουλος, Κώστας |
| author_facet |
Συριόπουλος, Κώστας Σκέντζου, Δέσποινα |
| format |
Thesis |
| author |
Σκέντζου, Δέσποινα |
| author_sort |
Σκέντζου, Δέσποινα |
| title |
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 |
| title_short |
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 |
| title_full |
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 |
| title_fullStr |
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 |
| title_full_unstemmed |
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 |
| title_sort |
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 |
| publishDate |
2015 |
| url |
http://hdl.handle.net/10889/8305 |
| work_keys_str_mv |
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