Moving Average Timing Strategy from a Volatility Perspective: Evidence of the Taiwan Stock Market.
Shyh-Weir TzangYung-Shun TsaiChun-Ping ChangYa-Ping YangPublished in: IMIS (2017)
Keyphrases
- stock market
- moving average
- stock index futures
- trading strategies
- stock price
- autoregressive
- garch model
- financial time series
- short term
- stock returns
- trading rules
- investment strategies
- financial data
- financial markets
- chinese stock market
- stock trading
- exponential smoothing
- stock data
- stock exchange
- long term
- stock index
- stock market data
- foreign exchange
- non stationary
- financial news
- portfolio optimization
- markov random field
- hidden markov models