Are Random Trading Strategies More Successful than Technical Ones?

In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio-economic systems. After a short introduction, we study the performance of some of the most used trading strat...

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Detalles Bibliográficos
Autores principales: Biondo, Alessio Emanuele, Pluchino, Alessandro, Rapisarda, Andrea, Helbing, Dirk
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2013
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3708927/
https://www.ncbi.nlm.nih.gov/pubmed/23874594
http://dx.doi.org/10.1371/journal.pone.0068344
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author Biondo, Alessio Emanuele
Pluchino, Alessandro
Rapisarda, Andrea
Helbing, Dirk
author_facet Biondo, Alessio Emanuele
Pluchino, Alessandro
Rapisarda, Andrea
Helbing, Dirk
author_sort Biondo, Alessio Emanuele
collection PubMed
description In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio-economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes, with the goal of comparing them to the performance of a completely random strategy. In this respect, historical data for FTSE-UK, FTSE-MIB, DAX, and S & P500 indexes are taken into account for a period of about 15–20 years (since their creation until today).
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spelling pubmed-37089272013-07-19 Are Random Trading Strategies More Successful than Technical Ones? Biondo, Alessio Emanuele Pluchino, Alessandro Rapisarda, Andrea Helbing, Dirk PLoS One Research Article In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio-economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes, with the goal of comparing them to the performance of a completely random strategy. In this respect, historical data for FTSE-UK, FTSE-MIB, DAX, and S & P500 indexes are taken into account for a period of about 15–20 years (since their creation until today). Public Library of Science 2013-07-11 /pmc/articles/PMC3708927/ /pubmed/23874594 http://dx.doi.org/10.1371/journal.pone.0068344 Text en © 2013 Biondo et al http://creativecommons.org/licenses/by/4.0/ This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited.
spellingShingle Research Article
Biondo, Alessio Emanuele
Pluchino, Alessandro
Rapisarda, Andrea
Helbing, Dirk
Are Random Trading Strategies More Successful than Technical Ones?
title Are Random Trading Strategies More Successful than Technical Ones?
title_full Are Random Trading Strategies More Successful than Technical Ones?
title_fullStr Are Random Trading Strategies More Successful than Technical Ones?
title_full_unstemmed Are Random Trading Strategies More Successful than Technical Ones?
title_short Are Random Trading Strategies More Successful than Technical Ones?
title_sort are random trading strategies more successful than technical ones?
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3708927/
https://www.ncbi.nlm.nih.gov/pubmed/23874594
http://dx.doi.org/10.1371/journal.pone.0068344
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