We use the recently proposed duality approach to study the performance of static, myopic and generalized buy-and-hold (GBH) trading strategies. Our interest in static and GBH strategies is motivated by the fact that these strategies are intuitive and straightforward to implement in practice. The myopic strategy, while more difficult to implement, is often close to optimal and so we use it to ob...

The false lock performance and false lock margin of I-Q Costas loops with matched-filter/sample-and-hold (S&H) arm filters are derived for the case of a random data input with symbols of arbitrary pulse shape.

Stock picking based on regularities in time series is one of the most studied topics financial industry. Various machine learning techniques have been employed for this task. We build a trading strategy algorithm that receives as input indicators defined through outliers stocks (return, volume, volatility, bid-ask spread). The procedure identifies relevant subset prediction stock returns by com...

While most previous studies have analyzed the performance of Option Strategy Benchmark Index (SBI) in a specific market such as S&P500 and KOSPI200, this study comprehensively investigates option SBIs nine global options markets Europe, Asia, Oceania. In empirical analysis using sample data from September 2008 to April 2019, main results are follows. First, generally provide better than sim...

Traditional jitter-noise analysis which mainly focuses on the clock jitter errors for impulse-sampled signals cannot accurately model the sampled-data systems that practically include nonuniform sample-and-hold effects. This paper presents a comprehensive and robust analysis of the imperfections of nonuniformly sampled-and-held signals due to clock jitter. Both the general signal to overall jit...

This note provides a neat and enjoyable expansion application of the magnificent Ordentlich-Cover theory “universal portfolios”. I generalize Cover’s benchmark best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering bilinear strategy determined for realized sequence asset prices. A is mini two-period active whose final capital growth factor linear separatel...

The candlestick charts, which were developed in the 18th century and initially used Japanese rice market, are widely trading strategies all financial markets after 1991. Candlestick charts can interpret opening, high, low closing values of an asset a single visual. In addition to these advantages, large number chart patterns makes their practical use difficult. study for this purpose, software ...