Some implications of the moving average rule usage for portfolio trading

被引：0
|
作者：
Tichy, Tomas [1 ]
Kouaissah, Nouraddine [1 ,3 ]
Ortobelli, Sergio [1 ,3 ]
Orlandini, Davide [2 ]
机构：
[1] Tech Univ Ostrava, Dept Finance, Ostrava, Czech Republic
[2] Individual Quantitat Trader, Bergamo, Italy
[3] Univ Bergamo, Dept Management Econ & Quantitat Methods, Bergamo, Italy
来源：
2015 12TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT (ICSSSM) | 2015年
关键词：
Moving Average; conditional probability; alarm signal; systemic risk; UNCERTAINTY; SELECTION; BOOTSTRAP; RETURNS; MARKETS;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Portfolio trading requires different implementation of strategies than when just a single asset is traded. In this paper, we provide some theoretical motivations for the usage of the moving average rule, one of the most simple as well as popular trading tools among practitioners, as well as its implementation consequences. In particular, we examine the conditional probability of the price increments and we study how this probability changes over time. We find that under some assumptions the probability of up-trend is greater than the probability of down trend. Finally, we compare the ex-post wealth obtained using these trading rules and other portfolio strategies.
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页数：5
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