The search for time-series predictability-based anomalies
This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully invested...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Vilnius Gediminas Technical University
2022-01-01
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Series: | Journal of Business Economics and Management |
Subjects: | |
Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/15650 |