IDEAS home Printed from https://ideas.repec.org/p/zbw/kitwps/62.html
   My bibliography  Save this paper

Stochastic technical analysis for decision making on the financial market

Author

Listed:
  • Höchstötter, Markus
  • Safarian, Mher

Abstract

We apply the well-known CUSUM and the Girshick-Rubin algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Frankfurt mid-day auction prices. We select optimal pairs of fixed thresholds for up- and down-movements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the CUSUM technique not only outperforms the passive investment in the DAX but also the alternative Girshick-Rubin algorithm.

Suggested Citation

  • Höchstötter, Markus & Safarian, Mher, 2014. "Stochastic technical analysis for decision making on the financial market," Working Paper Series in Economics 62, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  • Handle: RePEc:zbw:kitwps:62
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/102954/1/798198443.pdf
    Download Restriction: no

    More about this item

    Keywords

    CUSUM; Girshick-Rubin; trading algorithm; DAX;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:kitwps:62. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/fwkitde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.