Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48010
Title: An empirical evaluation of non-linear trading rules
Authors: Andrada Félix, Julián 
García Artiles,María Dolores 
Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
UNESCO Clasification: 5302 Econometría
Keywords: Bolsa de valores
Modelos económetricos
Issue Date: 2003
Publisher: 1558-3708
Journal: Studies in Nonlinear Dynamics and Econometrics 
Abstract: In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange for the 1997-2002 period, our results suggest that, taking into account transaction costs, the NN-based trading rule is superior to both a risk-adjusted buy-and-hold strategy and a linear ARIMA-based strategy in terms of returns for all of the years studied, except for 2000 and 2001. In addition, the NN-based trading rule produces higher net returns than those from a simple buy-and-hold strategy, except for 1997. Regarding other profitability measures, the NN-based trading rule yields higher Sharpe ratios than the ARIMA-based strategy for all of the years in the sample except for 2001. As for 2001, in 36 out of the 101 cases considered, the ARIMA-based strategy gives higher Sharpe ratios than those from the NN-trading rule, in 18 cases the opposite is true, and in the remaining 36 cases both strategies yield the same ratios.
URI: http://hdl.handle.net/10553/48010
ISSN: 1558-3708
DOI: 10.2202/1558-3708.1160
Source: Studies In Nonlinear Dynamics And Econometrics[ISSN 1081-1826],v. 7 (3), (Octubre 2003)
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

12
checked on Jul 25, 2021

WEB OF SCIENCETM
Citations

14
checked on Jul 25, 2021

Page view(s)

28
checked on Jul 24, 2021

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.