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DOI: 10.5445/IR/1000043466

Stochastic technical analysis for decision making on the financial market

Höchstötter, Markus; Safarian, Mher

Abstract:
We apply the well-known CUSUM and the Girshick-Rubin algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Frankfurt mid-day auction prices. We select optimal pairs of fixed thresholds for up- and down- movements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the CUSUM technique not only outperforms the passive investment in the DAX but also the alternative Girshick-Rubin algorithm.


Zugehörige Institution(en) am KIT Institut für Volkswirtschaftslehre (ECON)
Publikationstyp Forschungsbericht
Jahr 2014
Sprache Englisch
Identifikator ISSN: 2190-9806
URN: urn:nbn:de:swb:90-434664
KITopen ID: 1000043466
Verlag KIT, Karlsruhe
Serie Working paper series in economics ; 62
Schlagworte CUSUM, Girshick-Rubin, trading algorithm, DAX
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