Using trading mechanisms to investigate large futures data and their implications to market trends
Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understoo...
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| Autor*in: |
Wu, Mu-En [verfasserIn] Wang, Chia-Hung [verfasserIn] Chung, Wei-Ho [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2016 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: Soft Computing - Springer-Verlag, 2003, 21(2016), 11 vom: 20. Mai, Seite 2821-2834 |
|---|---|
| Übergeordnetes Werk: |
volume:21 ; year:2016 ; number:11 ; day:20 ; month:05 ; pages:2821-2834 |
| Links: |
|---|
| DOI / URN: |
10.1007/s00500-016-2162-6 |
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| 520 | |a Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. | ||
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10.1007/s00500-016-2162-6 doi (DE-627)SPR006491928 (SPR)s00500-016-2162-6-e DE-627 ger DE-627 rakwb eng Wu, Mu-En verfasserin aut Using trading mechanisms to investigate large futures data and their implications to market trends 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. Trading Strategy (dpeaa)DE-He213 Momentum Effect (dpeaa)DE-He213 Market Trend (dpeaa)DE-He213 Open Price (dpeaa)DE-He213 Momentum Strategy (dpeaa)DE-He213 Wang, Chia-Hung verfasserin aut Chung, Wei-Ho verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 21(2016), 11 vom: 20. Mai, Seite 2821-2834 (DE-627)SPR006469531 nnns volume:21 year:2016 number:11 day:20 month:05 pages:2821-2834 https://dx.doi.org/10.1007/s00500-016-2162-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 21 2016 11 20 05 2821-2834 |
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10.1007/s00500-016-2162-6 doi (DE-627)SPR006491928 (SPR)s00500-016-2162-6-e DE-627 ger DE-627 rakwb eng Wu, Mu-En verfasserin aut Using trading mechanisms to investigate large futures data and their implications to market trends 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. Trading Strategy (dpeaa)DE-He213 Momentum Effect (dpeaa)DE-He213 Market Trend (dpeaa)DE-He213 Open Price (dpeaa)DE-He213 Momentum Strategy (dpeaa)DE-He213 Wang, Chia-Hung verfasserin aut Chung, Wei-Ho verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 21(2016), 11 vom: 20. Mai, Seite 2821-2834 (DE-627)SPR006469531 nnns volume:21 year:2016 number:11 day:20 month:05 pages:2821-2834 https://dx.doi.org/10.1007/s00500-016-2162-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 21 2016 11 20 05 2821-2834 |
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10.1007/s00500-016-2162-6 doi (DE-627)SPR006491928 (SPR)s00500-016-2162-6-e DE-627 ger DE-627 rakwb eng Wu, Mu-En verfasserin aut Using trading mechanisms to investigate large futures data and their implications to market trends 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. Trading Strategy (dpeaa)DE-He213 Momentum Effect (dpeaa)DE-He213 Market Trend (dpeaa)DE-He213 Open Price (dpeaa)DE-He213 Momentum Strategy (dpeaa)DE-He213 Wang, Chia-Hung verfasserin aut Chung, Wei-Ho verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 21(2016), 11 vom: 20. Mai, Seite 2821-2834 (DE-627)SPR006469531 nnns volume:21 year:2016 number:11 day:20 month:05 pages:2821-2834 https://dx.doi.org/10.1007/s00500-016-2162-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 21 2016 11 20 05 2821-2834 |
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10.1007/s00500-016-2162-6 doi (DE-627)SPR006491928 (SPR)s00500-016-2162-6-e DE-627 ger DE-627 rakwb eng Wu, Mu-En verfasserin aut Using trading mechanisms to investigate large futures data and their implications to market trends 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. Trading Strategy (dpeaa)DE-He213 Momentum Effect (dpeaa)DE-He213 Market Trend (dpeaa)DE-He213 Open Price (dpeaa)DE-He213 Momentum Strategy (dpeaa)DE-He213 Wang, Chia-Hung verfasserin aut Chung, Wei-Ho verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 21(2016), 11 vom: 20. Mai, Seite 2821-2834 (DE-627)SPR006469531 nnns volume:21 year:2016 number:11 day:20 month:05 pages:2821-2834 https://dx.doi.org/10.1007/s00500-016-2162-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 21 2016 11 20 05 2821-2834 |
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10.1007/s00500-016-2162-6 doi (DE-627)SPR006491928 (SPR)s00500-016-2162-6-e DE-627 ger DE-627 rakwb eng Wu, Mu-En verfasserin aut Using trading mechanisms to investigate large futures data and their implications to market trends 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. Trading Strategy (dpeaa)DE-He213 Momentum Effect (dpeaa)DE-He213 Market Trend (dpeaa)DE-He213 Open Price (dpeaa)DE-He213 Momentum Strategy (dpeaa)DE-He213 Wang, Chia-Hung verfasserin aut Chung, Wei-Ho verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 21(2016), 11 vom: 20. Mai, Seite 2821-2834 (DE-627)SPR006469531 nnns volume:21 year:2016 number:11 day:20 month:05 pages:2821-2834 https://dx.doi.org/10.1007/s00500-016-2162-6 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 21 2016 11 20 05 2821-2834 |
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Using trading mechanisms to investigate large futures data and their implications to market trends |
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Using trading mechanisms to investigate large futures data and their implications to market trends |
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Wu, Mu-En |
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Soft Computing |
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Wu, Mu-En Wang, Chia-Hung Chung, Wei-Ho |
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Wu, Mu-En |
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10.1007/s00500-016-2162-6 |
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using trading mechanisms to investigate large futures data and their implications to market trends |
| title_auth |
Using trading mechanisms to investigate large futures data and their implications to market trends |
| abstract |
Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. |
| abstractGer |
Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. |
| abstract_unstemmed |
Abstract Market trends have been one of the highly debated phenomena in the financial industries and academia. Prior works show the profitability in exploiting transactions via market trend quantification; on the other hand, traders’ behaviors and effects on the market trends can be better understood by market trend studies. In general, the trading strategies on the market trend include trend following strategies and contrarian strategies. Following the trend, trading strategies exploit the momentum effects. The momentum strategies profit in a long position with the rising market prices, as well as in a short position with the decreasing market prices. On the contrary, the view of contrarian trading strategy is based on the mean-reversion property, i.e., a long position is taken when the price moves down and a short position is taken when the price moves up. In this paper, we apply the stop-loss and stop-profit mechanisms to verify the market trends based on two new simple strategies, i.e., the BuyOp. strategy and the BuyHi.SellLo. strategy. We back-test these two strategies on the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from May 25, 2010 to August 19, 2015. We compare the numerical results of its profits and losses through various stop-loss thresholds and stop-profit thresholds, and verify the existence of the momentum effect via applying these two new trading strategies. Besides, we analyze the market trends through the repeated simulations of random trades with the stop-loss and stop-profit mechanisms. Our numerical results reveal that there exist momentum effects in TAIEX Futures, which verifies the market inefficiency and the market profitability in exploiting the market inefficiency. In addition, the techniques of random trades are also applied to the other commodities, such as AAPL in NASDAQ, IBM, GOOG in NYSE, and, TSMC in TPE, and so on. Surprisingly, not all the stocks have the momentum effects. Our experimental results show that some stocks or markets are more suitable for the mean-reverse strategy. Finally, we propose a technique to quantify the momentum effect of a financial market by using Jensen–Shannon divergence. |
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Using trading mechanisms to investigate large futures data and their implications to market trends |
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https://dx.doi.org/10.1007/s00500-016-2162-6 |
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