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    题名: Predictive Ability of Similarity-based Futures Trading Strategies
    作者: 江彌修
    Chiang, Mi-Hsiu
    Chiu, Hsin-Yu
    Kuo, Wei-Yu
    贡献者: 金融系
    关键词: Technical trading;Similarity-based analogical reasoning;Futures markets
    日期: 2021-09
    上传时间: 2022-04-11 13:48:06 (UTC+8)
    摘要: A trading rule that draws on the similarity-based analogical reasoning is proposed in an attempt to simulate the technical trading mentality—one that selectively perceives structural resemblances between market scenarios of the present and the past. In more than half of the nineteen futures markets that we test against for profitability of this similarity-based trading rule, we find evidence of predictive ability that is robust to data-snooping and transaction-cost adjustments. When aided by an exit strategy that liquidates the trader`s positions across some evenly-spaced time points, this rule generates the most robust returns and survives the in- and out-of-sample tests.
    關聯: Pacific-Basin Finance Journal, Vol.68, pp.101616
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2021.101616
    DOI: 10.1016/j.pacfin.2021.101616
    显示于类别:[金融學系] 期刊論文

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