The search for time-series predictability-based anomalies

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...

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Bibliographic Details
Main Authors: Javier Humberto Ospina-Holguín, Ana Milena Padilla-Ospina
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2022-01-01
Series:Journal of Business Economics and Management
Subjects:
stock market
investment algorithm
trading rules
alpha maximization
market timing
artificial intelligence
machine learning
reinforcement learning
evolutionary computation
perceptron
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/15650

Internet

https://journals.vgtu.lt/index.php/JBEM/article/view/15650

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