Evolving Market Index Trading Rules Using Grammatical Evolution

2001 ◽  
pp. 343-352 ◽  
Author(s):  
Michael O’Neill ◽  
Anthony Brabazon ◽  
Conor Ryan ◽  
J. J. Collins
Keyword(s):  
Grammatical Evolution ◽  
Trading Rules ◽  
Market Index

scholarly journals TRADING RULES ON A SMALL STOCK MARKET

2018 ◽  
Vol 3 (1) ◽  
pp. 46-55
Author(s):  
Stefán B. Gunnlaugsson
Keyword(s):  
Stock Market ◽  
Weak Form ◽  
Investment Strategy ◽  
Extensive Study ◽  
Trading Rules ◽  
Market Index ◽  
Small Stock ◽  
Entire History ◽  
Passive Strategy ◽  
Weak Form Efficiency

In this article, the results of an extensive study of the weak form efficiency of the Iceland stock market are presented. This study almost covers the market’s entire history, with the research starting at the beginning of 1993 and ending in July 2017. Four trading rules based on 70-day moving averages were constructed and compared with the passive investment strategy of buying the market index. All of these trading rules provided significantly better returns than the passive strategy, even when considering trading costs. This result indicates that the Icelandic stock market did not show weak form efficiency, and past returns predicted future returns during the period examined.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Sign in / Sign up

Export Citation Format

Share Document