Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48010
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dc.contributor.authorAndrada Félix, Julián-
dc.contributor.authorGarcía Artiles,María Dolores-
dc.contributor.authorFernández Rodríguez, Fernando-
dc.contributor.authorSosvilla Rivero,Simón Javier-
dc.date.accessioned2018-11-23T18:14:42Z-
dc.date.available2018-11-23T18:14:42Z-
dc.date.issued2003-
dc.identifier.issn1558-3708-
dc.identifier.otherWoS-
dc.identifier.urihttp://hdl.handle.net/10553/48010-
dc.description.abstractIn 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.-
dc.languageeng-
dc.publisher1558-3708-
dc.relation.ispartofStudies in Nonlinear Dynamics and Econometrics-
dc.sourceStudies In Nonlinear Dynamics And Econometrics[ISSN 1081-1826],v. 7 (3), (Octubre 2003)-
dc.subject5302 Econometría-
dc.subject.otherBolsa de valores-
dc.subject.otherModelos económetricos-
dc.titleAn empirical evaluation of non-linear trading rules-
dc.typeinfo:eu-repo/semantics/Article-
dc.typeArticle-
dc.identifier.doi10.2202/1558-3708.1160-
dc.identifier.scopus14844351611-
dc.identifier.isi000222681800004-
dc.contributor.authorscopusid6505916889-
dc.contributor.authorscopusid56473613200-
dc.contributor.authorscopusid8277287400-
dc.contributor.authorscopusid6701863324-
dc.identifier.eissn1558-3708-
dc.identifier.issue4-
dc.relation.volume7-
dc.investigacionCiencias Sociales y Jurídicas-
dc.type2Artículo-
dc.contributor.daisngid3014920-
dc.contributor.daisngid24660378-
dc.contributor.daisngid18028862-
dc.contributor.daisngid514725-
dc.description.numberofpages32-
dc.utils.revision-
dc.contributor.wosstandardWOS:Andrada-Felix, J-
dc.contributor.wosstandardWOS:Fernadez-Rodriguez, F-
dc.contributor.wosstandardWOS:Garcia-Artiles, MD-
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S-
dc.date.coverdateOctubre 2003-
dc.identifier.ulpgces
dc.description.erihplusERIH PLUS
item.fulltextSin texto completo-
item.grantfulltextnone-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0001-8598-3234-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameAndrada Félix, Julián-
crisitem.author.fullNameGarcía Artiles,María Dolores-
crisitem.author.fullNameFernández Rodríguez, Fernando-
crisitem.author.fullNameSosvilla Rivero,Simón Javier-
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