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Article: Forecasting and trading strategies based on a price trend model

TitleForecasting and trading strategies based on a price trend model
Authors
KeywordsForecasting
Moving averages
Price trend model
Trading rules
Issue Date2000
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Citation
Journal Of Forecasting, 2000, v. 19 n. 6, p. 485-498 How to Cite?
AbstractIn this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is used to estimate the model parameters. Optimal one-step-ahead forecasts of returns are derived. The trading rule based on these forecasts is constructed and is found to bear similarity to a popular trading rule based on moving averages. When applying the methods to forecast the returns of the Hang Seng Index Futures in Hong Kong, we find that the performance of the newly developed trading rule is satisfactory. Copyright © 2000 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/82832
ISSN
2015 Impact Factor: 0.818
2015 SCImago Journal Rankings: 0.706
References

 

DC FieldValueLanguage
dc.contributor.authorKwan, JWCen_HK
dc.contributor.authorLam, Ken_HK
dc.contributor.authorSo, MKPen_HK
dc.contributor.authorYu, PLHen_HK
dc.date.accessioned2010-09-06T08:33:55Z-
dc.date.available2010-09-06T08:33:55Z-
dc.date.issued2000en_HK
dc.identifier.citationJournal Of Forecasting, 2000, v. 19 n. 6, p. 485-498en_HK
dc.identifier.issn0277-6693en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82832-
dc.description.abstractIn this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is used to estimate the model parameters. Optimal one-step-ahead forecasts of returns are derived. The trading rule based on these forecasts is constructed and is found to bear similarity to a popular trading rule based on moving averages. When applying the methods to forecast the returns of the Hang Seng Index Futures in Hong Kong, we find that the performance of the newly developed trading rule is satisfactory. Copyright © 2000 John Wiley & Sons, Ltd.en_HK
dc.languageengen_HK
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966en_HK
dc.relation.ispartofJournal of Forecastingen_HK
dc.rightsJournal of Forecasting. Copyright © John Wiley & Sons Ltd.en_HK
dc.subjectForecastingen_HK
dc.subjectMoving averagesen_HK
dc.subjectPrice trend modelen_HK
dc.subjectTrading rulesen_HK
dc.titleForecasting and trading strategies based on a price trend modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0277-6693&volume=19&spage=485&epage=498&date=2000&atitle=Forecasting+and+trading+strategies+based+on+a+price+trend+modelen_HK
dc.identifier.emailYu, PLH: plhyu@hkucc.hku.hken_HK
dc.identifier.authorityYu, PLH=rp00835en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-8644234564en_HK
dc.identifier.hkuros57085en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-8644234564&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume19en_HK
dc.identifier.issue6en_HK
dc.identifier.spage485en_HK
dc.identifier.epage498en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridKwan, JWC=7102370478en_HK
dc.identifier.scopusauthoridLam, K=36492945700en_HK
dc.identifier.scopusauthoridSo, MKP=7004473851en_HK
dc.identifier.scopusauthoridYu, PLH=7403599794en_HK

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