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Fakultät für Mathematik
Hofmann, B. : Chances of strategies against the trend for DAX and DAX-Future based on a three-days indicator

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

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