An empirical analysis of quantitative trading strategies
Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008.
| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
| Published: |
Massachusetts Institute of Technology
2009
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| Online Access: | http://hdl.handle.net/1721.1/44439 |
| _version_ | 1826210643610435584 |
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| author | Aiuchi, Masaharu |
| author2 | Andrew W. Lo. |
| author_facet | Andrew W. Lo. Aiuchi, Masaharu |
| author_sort | Aiuchi, Masaharu |
| collection | MIT |
| description | Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008. |
| first_indexed | 2024-09-23T14:53:14Z |
| format | Thesis |
| id | mit-1721.1/44439 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T14:53:14Z |
| publishDate | 2009 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/444392019-04-11T13:52:49Z An empirical analysis of quantitative trading strategies rise and fall : evolution of trading strategies Aiuchi, Masaharu Andrew W. Lo. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008. Includes bibliographical references (p. 277-280). Along with the increasing computing power, growing availability of various data streams, introduction of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been evolving rapidly in a few decades. They challenge the Efficient Market Hypothesis by trying to forecast future price movements of risky assets from the historical market information in algorithmic ways or in statistical ways. They try to find some patters or trends from the historical data and use them to beat the market benchmark. In this research, I introduce several quantitative trading strategies and investigate their performances empirically i.e. by executing back-tests assuming that the S&P 500 stock index is a risky asset to trade. The strategies utilize the historical data of the stock index itself, trading volume movement, risk-free rate movement and implied volatility movement in order to generate buy or sell trading signals. Then I attempt to articulate and decompose the source for successes of some strategies in the back-tests into several factors such as trend patterns or relationships between market information variables in intuitive way. Some strategies recorded higher performances than the benchmark in the back-tests, however it is still a problem how we can distinguish these winner strategies beforehand from the losers at the beginning of our investment horizon. Human discretion such as macro view on the future market trend is considered to still play an important role for quantitative trading to be successful in the long-run. by Masaharu Aiuchi. M.B.A. 2009-01-30T16:46:58Z 2009-01-30T16:46:58Z 2008 2008 Thesis http://hdl.handle.net/1721.1/44439 294907447 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 280 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Aiuchi, Masaharu An empirical analysis of quantitative trading strategies |
| title | An empirical analysis of quantitative trading strategies |
| title_full | An empirical analysis of quantitative trading strategies |
| title_fullStr | An empirical analysis of quantitative trading strategies |
| title_full_unstemmed | An empirical analysis of quantitative trading strategies |
| title_short | An empirical analysis of quantitative trading strategies |
| title_sort | empirical analysis of quantitative trading strategies |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/44439 |
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