Hofmann, B. : Formulierung von Anti-Trend-Strategien bei Zeitreihen und einige empirische Studien
- Author(s) :
- Hofmann, B.
- Title :
- Formulierung von Anti-Trend-Strategien bei Zeitreihen und einige empirische Studien
- Preprint series
- Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 99-8, 1999
- Mathematics Subject Classification :
- 62M20 [ Prediction, etc. (statistics)
]
- 62M10 [ Time series, etc. (statistics) ]
- 62M10 [ Time series, etc. (statistics) ]
- Abstract :
- Based on ideas of asset management a mathematical
formulation of anti-trend-strategies in time
series is given. The strategies use qualified
growth and decay periods of the time series for
handling future contracts. A couple of case
studies with DAX intraday data illustrates
the considerations.
- Keywords :
- time series, prediction, anti-trend strategy, future contracts, qualified growth and decay, DAX intraday data
- Language :
- english
- Publication time :
- 9/1999
