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HUELUM Trading System: A Low-Frequency Algorithm Proposal

Author

Listed:
  • Ana Lorena Jiménez Preciado

    (Instituto Politécnico Nacional, México)

  • Salvador Cruz Aké

    (Instituto Politécnico Nacional, México)

  • César Gurrola Ríos

    (Universidad Juárez del Estado de Durango, México)

Abstract

El objetivo del presente trabajo es construir un conjunto de estrategias de trading para capturar la persistencia y memoria de series financieras. Se propone un sistema de trading de baja frecuencia llamado HUELUM, mismo que es probado con el Exchange Traded Fund (EFT) iShares NAFTRAC para precios diarios. La principal contribución de este trabajo es que el sistema de trading HUELUM tiene la capacidad de adaptarse al NAFTRAC, capturando su comportamiento, tendencia y persistencia. El sistema HUELUM es validado a través de un análisis de ventanas móviles, además de que funciona con cualquier activo financiero que registre precios de tipo apertura, máximo, mínimo y cierre (OHLC, por sus siglas en inglés). Cuando nos encontramos en un mercado con poca liquidez y profundidad, HUELUM proporciona señales precisas de compra y venta comparada con una estrategia de buy & hold, asimismo, el sistema de trading propuesto permite la cobertura ante potenciales pérdidas de inversión.

Suggested Citation

  • Ana Lorena Jiménez Preciado & Salvador Cruz Aké & César Gurrola Ríos, 2019. "HUELUM Trading System: A Low-Frequency Algorithm Proposal," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(4), pages 651-669, Octubre -.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:4:p:651-669
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    References listed on IDEAS

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    5. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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