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This paper presents various trading models for the stock market and test whether they are able to consistently generate excess returns from the Singapore Exchange (SGX). Instead of conventional ways of modeling stock prices, we construct models which relate the market indicators to a trading decision directly. Furthermore, unlike a reversal trading system or a binary system of buy and sell, we allow...
The mean-variance formulation by Markowitz in the 1950s paved a foundation for portfolio selection analysis in a single period. This was subsequently extended to multi-period portfolio selection by Li and Ng and multi-period portfolio selection with inter-temporal constraints by Costa and Nabholz. The solutions of both papers were implemented and backtested on the Singapore and US stock market. It...
In this article a comparison of different trading strategies and their resulting profitability when applied on a stock market with mean reverting properties is made. The focus is on two main strategies, dollar cost averaging and value averaging. Dollar cost averaging is an investment strategy which reduces the investment risk through the systematic purchase of securities at predetermined intervals...
In this article we present a method for modeling and estimating the stock market with a mean reverting characteristic. Mean reversion is the tendency for the market to move back to an equilibrium level. The random walk description of stock markets has certain inaccuracies as such a process may diverge over time, resulting in negative or infinite values. There is no longer an acceptable model which...
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