政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/139799

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51574451 Online Users : 915

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/139799

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/139799

Title:	Predictive Ability of Similarity-based Futures Trading Strategies
Authors:	江彌修 Chiang, Mi-Hsiu Chiu, Hsin-Yu Kuo, Wei-Yu
Contributors:	金融系
Keywords:	Technical trading;Similarity-based analogical reasoning;Futures markets
Date:	2021-09
Issue Date:	2022-04-11 13:48:06 (UTC+8)
Abstract:	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.
Relation:	Pacific-Basin Finance Journal, Vol.68, pp.101616
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2021.101616
DOI:	10.1016/j.pacfin.2021.101616
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
7.pdf		628Kb	Adobe PDF2	245	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...