Concept

Trading strategy

Related publications (36)

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Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...

Elsevier2017

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Napat Rujeerapaiboon, Byung-Geun Choi

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Yin-Yang: Concealing the Deep Embedding of DSLs

Martin Odersky, Christoph Koch, Amir Shaikhha, Sandro Stucki, Vojin Jovanovic, Vladimir Nikolaev

Deeply embedded domain-specific languages (EDSLs) intrinsically compromise programmer experience for improved program performance. Shallow EDSLs complement them by trading program performance for good programmer experience. We present Yin-Yang, a framework ...

Assoc Computing Machinery2015

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A combined strategy based on the computation of absorption energies, using the ZINDO/S semiempirical method, for a statistically relevant number of thermally sampled configurations extracted from QM/MM trajectories is used to establish a one-to-one corresp ...

2014

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2014

Yin-yang: concealing the deep embedding of DSLs

Martin Odersky, Christoph Koch, Amir Shaikhha, Sandro Stucki, Vojin Jovanovic, Vladimir Nikolaev

ACM Press2014

Techniques for the Modelling of the Process Systems in Slow and Fast-Moving Landslides

Lyesse Laloui, Alessio Ferrari, John Eichenberger, Julien Travelletti

This chapter reviews some of the current strategies for landslide modelling. Main physical processes in landslides are first recalled. Numerical tools are then introduced for the analysis of the behaviour of slow- and fast-moving landslides. Representative ...

Springer2014

An Algorithm for Testing the Efficient Market Hypothesis

Ioana Andreea Boboc

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

Portfolio construction under information asymmetry

Lionel Coulot

We introduce in this thesis the idea of a variable lookback model, i.e., a model whose predictions are based on a variable portion of the information set. We verify the intuition of this model in the context of experimental finance. We also propose a novel ...

EPFL2013