Some implications of the moving average rule usage for portfolio trading

Author

Tichy, Tomas ; Orlandini, Davide ; Kouaissah, Nouraddine ; Ortobelli, Sergio

Author_Institution

Dept. of Finance, Tech. Univ. Ostrava, Ostrava, Czech Republic

fYear

2015

fDate

22-24 June 2015

Firstpage

1

Lastpage

5

Abstract

Portfolio trading requires different implementation of strategies than when just a single asset is traded. In this paper, we provide some theoretical motivations for the usage of the moving average rule, one of the most simple as well as popular trading tools among practitioners, as well as its implementation consequences. In particular, we examine the conditional probability of the price increments and we study how this probability changes over time. We find that under some assumptions the probability of up-trend is greater than the probability of down trend. Finally, we compare the ex-post wealth obtained using these trading rules and other portfolio strategies.

Keywords

investment; pricing; probability; conditional probability; moving average rule usage; portfolio trading strategy; price increments; Economics; Europe; Finance; Forecasting; Market research; Portfolios; Timing; Moving Average; alarm signal; conditional probability; systemic risk;

fLanguage

English

Publisher

ieee

Conference_Titel

Service Systems and Service Management (ICSSSM), 2015 12th International Conference on

Conference_Location

Guangzhou

Print_ISBN

978-1-4799-8327-8

Type

conf

DOI

10.1109/ICSSSM.2015.7170325

Filename

7170325