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- W2026711836 abstract "Motivated by previous findings that discretization of financial time series can effectively filter the data and reduce the noise, this experimental study compares the trading performance of predictive models based on different modelling paradigms in a realistic setting. Different methods ranging from real-valued time series models to predictive models on a symbolic level are applied to predict the daily change in volatility of two major stock indices. The predicted volatility changes are interpreted as trading signals for buying or selling a straddle portfolio on the underlying stock index. Profits realized by this trading strategy are tested for statistical significance taking into account transactions costs. The results indicate that symbolic information processing is a promising approach to financial prediction tasks undermining the hypothesis of efficient capital markets." @default.
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- W2026711836 date "2002-05-01" @default.
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- W2026711836 title "The benefit of information reduction for trading strategies" @default.
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- W2026711836 doi "https://doi.org/10.1080/00036840110061938" @default.
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