Detailed study of a moving average trading rule-Reference-Cited by-同舟云学术

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Detailed study of a moving average trading rule

Published:2018-02-19 Issue:9 Volume:18 Page:1599-1617
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ferreira Fernando F.¹,Silva A. Christian²^ORCID,Yen Ju-Yi³

Affiliation:

1. Center for Interdisciplinary Research on Complex Systems, Universidade de São Paulo , 03828-000 São Paulo, Brazil.

2. IdataFactory , Houston, TX, 77030 USA.

3. Department of Mathematical Sciences, University of Cincinnati , Cincinnati, OH, 45221-0025 USA.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1417621

Reference68 articles.

1. Risk Adjustment and Trading Strategies

2. Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

3. Value and Momentum Everywhere

4. Computation and analysis of multiple structural change models

5. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

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1. Smart Trading: A Novel Reinforcement Learning Framework for Quantitative Trading in Noisy Markets;Lecture Notes in Computer Science;2024

2. Trend-following with better adaptation to large downside risks;PLOS ONE;2022-10-18

3. What drives trend-following profits in stocks? The role of the trading signals’ volatility;Applied Economics;2022-09-14

4. Evaluating active investing with generic trading reactions;International Journal of Finance & Economics;2020-07-30

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