The search for time-series predictability-based anomalies
This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully invested...
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Vilnius Gediminas Technical University
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/db9d8a0a547b43dbbb152a59426a965c |
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