scholarly journals On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?

Author(s):  
Nicolas Navet ◽  
Shu-Heng Chen
Keyword(s):  
2016 ◽  
Vol 17 (3) ◽  
pp. 405-421 ◽  
Author(s):  
Ben R. Marshall ◽  
Nhut H. Nguyen ◽  
Nuttawat Visaltanachoti

2017 ◽  
Vol 16 (02) ◽  
pp. 1750016 ◽  
Author(s):  
Michel Carlo Rodrigues Leles ◽  
Leonardo Amaral Mozelli ◽  
Homero Nogueira Guimarães

Singular Spectrum Analysis (SSA) is a non-parametric approach that can be used to decompose a time-series as trends, oscillations and noise. Trend-following strategies rely on the principle that financial markets move in trends for an extended period of time. Moving Averages (MAs) are the standard indicator to design such strategies. In this study, SSA is used as an alternative method to enhance trend resolution in comparison with the traditional MA. New trading rules using SSA as indicator are proposed. This paper shows that for the Down Jones Industrial Average (DJIA) and Shangai Securities Composite Index (SSCI) time-series the SSA trading rules provided, in general, better results in comparison to MA trading rules.


Author(s):  
Ben R. Marshall ◽  
Nhut H. Nguyen ◽  
Nuttawat Visaltanachoti

1994 ◽  
Vol 144 ◽  
pp. 279-282
Author(s):  
A. Antalová

AbstractThe occurrence of LDE-type flares in the last three cycles has been investigated. The Fourier analysis spectrum was calculated for the time series of the LDE-type flare occurrence during the 20-th, the 21-st and the rising part of the 22-nd cycle. LDE-type flares (Long Duration Events in SXR) are associated with the interplanetary protons (SEP and STIP as well), energized coronal archs and radio type IV emission. Generally, in all the cycles considered, LDE-type flares mainly originated during a 6-year interval of the respective cycle (2 years before and 4 years after the sunspot cycle maximum). The following significant periodicities were found:• in the 20-th cycle: 1.4, 2.1, 2.9, 4.0, 10.7 and 54.2 of month,• in the 21-st cycle: 1.2, 1.6, 2.8, 4.9, 7.8 and 44.5 of month,• in the 22-nd cycle, till March 1992: 1.4, 1.8, 2.4, 7.2, 8.7, 11.8 and 29.1 of month,• in all interval (1969-1992):a)the longer periodicities: 232.1, 121.1 (the dominant at 10.1 of year), 80.7, 61.9 and 25.6 of month,b)the shorter periodicities: 4.7, 5.0, 6.8, 7.9, 9.1, 15.8 and 20.4 of month.Fourier analysis of the LDE-type flare index (FI) yields significant peaks at 2.3 - 2.9 months and 4.2 - 4.9 months. These short periodicities correspond remarkably in the all three last solar cycles. The larger periodicities are different in respective cycles.


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