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Fractional Kelly strategies with low-risk stocks 低风险股票的部分凯利策略
Journal of interaction science Pub Date : 2016-08-08 DOI: 10.21314/JOIS.2016.074
W. Fong
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引用次数: 0
Portfolio insurance with adaptive protection 具有适应性保护的投资组合保险
Journal of interaction science Pub Date : 2016-05-13 DOI: 10.21314/JOIS.2016.071
François Soupé, T. Heckel, Raul Leote de Carvalho
{"title":"Portfolio insurance with adaptive protection","authors":"François Soupé, T. Heckel, Raul Leote de Carvalho","doi":"10.21314/JOIS.2016.071","DOIUrl":"https://doi.org/10.21314/JOIS.2016.071","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Optimal trading trajectories for algorithmic trading 算法交易的最优交易轨迹
Journal of interaction science Pub Date : 2016-02-25 DOI: 10.21314/JOIS.2016.065
M. V. Vega, G. Tucci
{"title":"Optimal trading trajectories for algorithmic trading","authors":"M. V. Vega, G. Tucci","doi":"10.21314/JOIS.2016.065","DOIUrl":"https://doi.org/10.21314/JOIS.2016.065","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"57-74"},"PeriodicalIF":0.0,"publicationDate":"2016-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Performance versus turnover: a story by 4000 alphas 业绩与营业额:一个4000阿尔法的故事
Journal of interaction science Pub Date : 2016-02-25 DOI: 10.21314/JOIS.2016.066
Zurab Kakushadze, Igor Tulchinsky
{"title":"Performance versus turnover: a story by 4000 alphas","authors":"Zurab Kakushadze, Igor Tulchinsky","doi":"10.21314/JOIS.2016.066","DOIUrl":"https://doi.org/10.21314/JOIS.2016.066","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"75-89"},"PeriodicalIF":0.0,"publicationDate":"2016-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Do Quantitative Country Selection Strategies Really Work 定量国家选择策略真的有效吗
Journal of interaction science Pub Date : 2016-02-24 DOI: 10.2139/SSRN.2606178
Adam Zaremba, P. Konieczka
{"title":"Do Quantitative Country Selection Strategies Really Work","authors":"Adam Zaremba, P. Konieczka","doi":"10.2139/SSRN.2606178","DOIUrl":"https://doi.org/10.2139/SSRN.2606178","url":null,"abstract":"Our study tests and compares 16 distinct country selection strategies based on inter-market value, size, momentum, quality and volatility effects within a sample of 78 countries for the period 1999-2014. By accounting for country-specific dividend tax rates, market liquidity and openness for investment flows, we design portfolios and assess their performance with asset pricing models. We find that the value strategies based on earnings to price ratio prove useful for investors, while momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves profitable. Finally, while the relation between volatility and returns remains strong, it displays different characteristics for open and closed economies. Most return patterns are uneven and abnormal returns result from investments in extreme markets.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"1-33"},"PeriodicalIF":0.0,"publicationDate":"2016-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68220626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Stock selection with principal component analysis 用主成分分析法选股
Journal of interaction science Pub Date : 2016-02-24 DOI: 10.21314/JOIS.2016.067
Libin Yang, W. Rea, Alethea Rea
{"title":"Stock selection with principal component analysis","authors":"Libin Yang, W. Rea, Alethea Rea","doi":"10.21314/JOIS.2016.067","DOIUrl":"https://doi.org/10.21314/JOIS.2016.067","url":null,"abstract":"We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"35-55"},"PeriodicalIF":0.0,"publicationDate":"2016-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705824","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Team cognition model based on mutual beliefs and mental subgrouping 基于相互信念和心理亚群的团队认知模型
Journal of interaction science Pub Date : 2016-02-01 DOI: 10.1186/s40166-016-0014-6
Dipta Mahardhika, T. Kanno, K. Furuta
{"title":"Team cognition model based on mutual beliefs and mental subgrouping","authors":"Dipta Mahardhika, T. Kanno, K. Furuta","doi":"10.1186/s40166-016-0014-6","DOIUrl":"https://doi.org/10.1186/s40166-016-0014-6","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"29 1","pages":"1-10"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-016-0014-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65837050","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
The dynamics of energy futures and equity sectors: evidence from the United States and Canada 能源期货和股票行业的动态:来自美国和加拿大的证据
Journal of interaction science Pub Date : 2015-12-01 DOI: 10.21314/JOIS.2015.061
K. Smimou
{"title":"The dynamics of energy futures and equity sectors: evidence from the United States and Canada","authors":"K. Smimou","doi":"10.21314/JOIS.2015.061","DOIUrl":"https://doi.org/10.21314/JOIS.2015.061","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"29-100"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Towards affective touch interaction: predicting mobile user emotion from finger strokes 面向情感触摸交互:通过手指触碰预测移动用户的情感
Journal of interaction science Pub Date : 2015-11-11 DOI: 10.1186/s40166-015-0013-z
Sachin Shah, J. Narasimha Teja, S. Bhattacharya
{"title":"Towards affective touch interaction: predicting mobile user emotion from finger strokes","authors":"Sachin Shah, J. Narasimha Teja, S. Bhattacharya","doi":"10.1186/s40166-015-0013-z","DOIUrl":"https://doi.org/10.1186/s40166-015-0013-z","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"1-15"},"PeriodicalIF":0.0,"publicationDate":"2015-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-015-0013-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65837013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Correctness of backtest engines 回测发动机的正确性
Journal of interaction science Pub Date : 2015-09-28 DOI: 10.21314/JOIS.2017.085
R. Low, S. Maier-Paape, A. Platen
{"title":"Correctness of backtest engines","authors":"R. Low, S. Maier-Paape, A. Platen","doi":"10.21314/JOIS.2017.085","DOIUrl":"https://doi.org/10.21314/JOIS.2017.085","url":null,"abstract":"In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the correctness. In this work, we discuss the problem how the correctness of backtest engines can be verified. We provide models for candles and for intra-period prices which will be applied to conduct a proof of correctness for a given backtest engine if the here provided tests on specific model candles are successful. Furthermore, we hint to algorithmic considerations in order to allow for a fast implementation of these tests necessary for the proof of correctness.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"6 1","pages":"31-52"},"PeriodicalIF":0.0,"publicationDate":"2015-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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