Are Random Trading Strategies More Successful than Technical Ones?

被引：42

作者：

Biondo, Alessio Emanuele ^{[1
]}

Pluchino, Alessandro ^{[2
,3
]}

Rapisarda, Andrea ^{[2
,3
]}

Helbing, Dirk ^{[4
]}

机构：

[1] Univ Catania, Dipartimento Econ & Impresa, Catania, Italy

[2] Univ Catania, Dipartimento Fis & Astron, Catania, Italy

[3] INFN Sez Catania, Catania, Italy

[4] Swiss Fed Inst Technol, Zurich, Switzerland

来源：

PLOS ONE | 2013年 / 8卷 / 07期

关键词：

RATIONAL-EXPECTATIONS; MARKETS; OPTIONS; POWER;

D O I：

10.1371/journal.pone.0068344

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio-economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes, with the goal of comparing them to the performance of a completely random strategy. In this respect, historical data for FTSE-UK, FTSE-MIB, DAX, and S & P500 indexes are taken into account for a period of about 15-20 years (since their creation until today).

引用

页数：13