Hofmann, B. : Chances of strategies against the trend for DAX and DAX-Future based on a three-days indicator
- Author(s) :
- Hofmann, B.
- Title :
- Chances of strategies against the trend for DAX and DAX-Future based on a three-days indicator
- Preprint series
- Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 2000-3, 2000
- Mathematics Subject Classification :
- 62M10 [ Time series, etc. (statistics)
]
- Abstract :
- By considering the behaviour of index time series
a strategy against the trend is proposed based
on a three-days close price indicator. The chances
of market countermotions after qualified growth
and decay periods are studied for DAX and
DAX-Future data. A simulation of geometric
Brownian motion shows the difference to real index
time series.
- Keywords :
- times series, anti-trend strategy, DAX, DAX-Future, qualified growth and decay, close price indicator, lognormal distribution, geometric Brownian motion, simulation
- Language :
- english
- Publication time :
- 3/2000
