New Developments in Quantitative Trading and Investment: The Anatomy and Performance of Trading Rules

Zakamulin, Valeriy

This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.

Details

Published by: Palgrave Macmillan

Publication Date: 2017-12-04

Format: Hardcover

ISBN-13: 9783319609690

DOI: 10.1007/978-3-319-60970-6

Dimensions: 235cm x155cm

Pages: 278