Do Mean Reverting based trading strategies outperform Buy and Hold?
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More about this item
KeywordsTrading Rule; Asset Pricing; State Space Modeling;
- 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
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MST-2011-06-18 (Market Microstructure)
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