Forecasting Stock Market Averages to Enhance Profitable Trading Strategies

Haefke, Christian and Helmenstein, Christian (December 1995) Forecasting Stock Market Averages to Enhance Profitable Trading Strategies. IHS Economics Series 21

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Abstract or Table of Contents

Abstract: 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 this cheaply replicable trading scheme cannot be expected to persist. Therefore we forecast the averages using autoregressive linear and neural network models to gain a competitive advantage relative to other investors. Refining the trading scheme using the forecasts further increases the mean return as compared to a buy and hold strategy.;

Item Type: IHS Series
Keywords: 'Trading Strategy' 'Stock Market Index' 'Neural Networks' 'Cointegration'
Classification Codes (e.g. JEL): G14, C43, C45, C53
Status: Published
Date Deposited: 26 Sep 2014 10:36
Last Modified: 16 Apr 2016 03:12
URI: http://irihs.ihs.ac.at/id/eprint/879

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