Forecasting Stock Market Averages to Enhance Profitable Trading Strategies

Research, Preprint OPEN
Haefke, Christian; Helmenstein, Christian;
  • Publisher: Vienna: Institute for Advanced Studies (IHS)
  • Subject: C53 | C43 | trading strategy | C45 | Börsenkurs | neural networks | Prognoseverfahren | G14 | Trading Strategy, Stock Market Index, Neural Networks, Cointegration | stock market index | cointegration | Neuronale Netze | Aktienindex | Theorie
    • jel: jel:C45 | jel:C43 | jel:C53 | jel:G14
      ddc: ddc:330

In this paper we design a simple trading strategy to exploit the hypothesized distinct informational content of the arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture. The profits generated by t... View more
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