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Analysis of stochastic technical trading algorithms

Höchstötter, Markus; Safarian, Mher; Krumetsadik, Anna

Abstract: We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir-Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.

Zugehörige Institution(en) am KIT Institut für Volkswirtschaftslehre (ECON)
Publikationstyp Forschungsbericht
Jahr 2016
Sprache Englisch
Identifikator DOI(KIT): 10.5445/IR/1000055429
ISSN: 2190-9806
URN: urn:nbn:de:swb:90-554293
KITopen ID: 1000055429
Verlag KIT, Karlsruhe
Umfang 17,16 S.
Serie Working paper series in economics ; 91
Schlagworte CUSUM, Girshick-Rubin, Graversen-Peskir-Shiryaev, Brodsky-Darkovsky, trading algorithm, DAX
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