Buying stock market winners on Warsaw Stock Exchange - quantitative backtests of a short term trend following strategy.
Aleksander FafulaKrzysztof DrelczukPublished in: FedCSIS (2015)
Keyphrases
- stock market
- short term
- stock exchange
- long term
- trading strategies
- stock price
- investment strategies
- stock trading
- trading rules
- financial time series
- portfolio optimization
- short term and long term
- financial data
- stock index
- stock data
- financial markets
- transaction costs
- stock index futures
- forecasting model
- neural network
- garch model