Towards a non-linear trading strategy for financial time series

被引：5
|
作者：
Strozzi, F [1 ]
Comenges, JMZ
机构：
[1] Carlo Cattaneo Univ, LIUC, Fac Engn, Quantitat Methods Inst, I-21053 Castellanza, VA, Italy
[2] European Commiss, Joint Res Ctr, Inst Environm & Sustainabil, I-21020 Ispra, Italy
来源：
CHAOS SOLITONS & FRACTALS | 2006年 / 28卷 / 03期
关键词：
D O I：
10.1016/j.chaos.2005.08.006
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A new trading strategy based on state space reconstruction techniques is proposed. The technique uses the state space volume evolution and its rate of change as indicators. This methodology has been tested off-line using eighteen high-frequency foreign exchange time series with and without transaction costs. In our analysis an optimum mean value of approximately 25% gain may be obtained in those series without transaction costs and an optimum mean value of approximately 11% gain assuming 0.2% of costs in each transaction. (c) 2005 Elsevier Ltd. All rights reserved.
引用
收藏
页码：601 / 615
页数：15
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