{"title":"Fractional Kelly strategies with low-risk stocks","authors":"W. Fong","doi":"10.21314/JOIS.2016.074","DOIUrl":"https://doi.org/10.21314/JOIS.2016.074","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Portfolio insurance with adaptive protection","authors":"François Soupé, T. Heckel, Raul Leote de Carvalho","doi":"10.21314/JOIS.2016.071","DOIUrl":"https://doi.org/10.21314/JOIS.2016.071","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Optimal trading trajectories for algorithmic trading","authors":"M. V. Vega, G. Tucci","doi":"10.21314/JOIS.2016.065","DOIUrl":"https://doi.org/10.21314/JOIS.2016.065","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"57-74"},"PeriodicalIF":0.0,"publicationDate":"2016-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Performance versus turnover: a story by 4000 alphas","authors":"Zurab Kakushadze, Igor Tulchinsky","doi":"10.21314/JOIS.2016.066","DOIUrl":"https://doi.org/10.21314/JOIS.2016.066","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"75-89"},"PeriodicalIF":0.0,"publicationDate":"2016-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Our study tests and compares 16 distinct country selection strategies based on inter-market value, size, momentum, quality and volatility effects within a sample of 78 countries for the period 1999-2014. By accounting for country-specific dividend tax rates, market liquidity and openness for investment flows, we design portfolios and assess their performance with asset pricing models. We find that the value strategies based on earnings to price ratio prove useful for investors, while momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves profitable. Finally, while the relation between volatility and returns remains strong, it displays different characteristics for open and closed economies. Most return patterns are uneven and abnormal returns result from investments in extreme markets.
{"title":"Do Quantitative Country Selection Strategies Really Work","authors":"Adam Zaremba, P. Konieczka","doi":"10.2139/SSRN.2606178","DOIUrl":"https://doi.org/10.2139/SSRN.2606178","url":null,"abstract":"Our study tests and compares 16 distinct country selection strategies based on inter-market value, size, momentum, quality and volatility effects within a sample of 78 countries for the period 1999-2014. By accounting for country-specific dividend tax rates, market liquidity and openness for investment flows, we design portfolios and assess their performance with asset pricing models. We find that the value strategies based on earnings to price ratio prove useful for investors, while momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves profitable. Finally, while the relation between volatility and returns remains strong, it displays different characteristics for open and closed economies. Most return patterns are uneven and abnormal returns result from investments in extreme markets.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"1-33"},"PeriodicalIF":0.0,"publicationDate":"2016-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68220626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.
{"title":"Stock selection with principal component analysis","authors":"Libin Yang, W. Rea, Alethea Rea","doi":"10.21314/JOIS.2016.067","DOIUrl":"https://doi.org/10.21314/JOIS.2016.067","url":null,"abstract":"We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"35-55"},"PeriodicalIF":0.0,"publicationDate":"2016-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705824","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-02-01DOI: 10.1186/s40166-016-0014-6
Dipta Mahardhika, T. Kanno, K. Furuta
{"title":"Team cognition model based on mutual beliefs and mental subgrouping","authors":"Dipta Mahardhika, T. Kanno, K. Furuta","doi":"10.1186/s40166-016-0014-6","DOIUrl":"https://doi.org/10.1186/s40166-016-0014-6","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"29 1","pages":"1-10"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-016-0014-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65837050","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The dynamics of energy futures and equity sectors: evidence from the United States and Canada","authors":"K. Smimou","doi":"10.21314/JOIS.2015.061","DOIUrl":"https://doi.org/10.21314/JOIS.2015.061","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"29-100"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-11-11DOI: 10.1186/s40166-015-0013-z
Sachin Shah, J. Narasimha Teja, S. Bhattacharya
{"title":"Towards affective touch interaction: predicting mobile user emotion from finger strokes","authors":"Sachin Shah, J. Narasimha Teja, S. Bhattacharya","doi":"10.1186/s40166-015-0013-z","DOIUrl":"https://doi.org/10.1186/s40166-015-0013-z","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"1-15"},"PeriodicalIF":0.0,"publicationDate":"2015-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-015-0013-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65837013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the correctness. In this work, we discuss the problem how the correctness of backtest engines can be verified. We provide models for candles and for intra-period prices which will be applied to conduct a proof of correctness for a given backtest engine if the here provided tests on specific model candles are successful. Furthermore, we hint to algorithmic considerations in order to allow for a fast implementation of these tests necessary for the proof of correctness.
{"title":"Correctness of backtest engines","authors":"R. Low, S. Maier-Paape, A. Platen","doi":"10.21314/JOIS.2017.085","DOIUrl":"https://doi.org/10.21314/JOIS.2017.085","url":null,"abstract":"In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the correctness. In this work, we discuss the problem how the correctness of backtest engines can be verified. We provide models for candles and for intra-period prices which will be applied to conduct a proof of correctness for a given backtest engine if the here provided tests on specific model candles are successful. Furthermore, we hint to algorithmic considerations in order to allow for a fast implementation of these tests necessary for the proof of correctness.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"6 1","pages":"31-52"},"PeriodicalIF":0.0,"publicationDate":"2015-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：