New Avenues in Expected Returns: Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gönenç, Halit

doi:10.2139/ssrn.4335622

Cited by 1 publication

(2 citation statements)

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“…The parameters are ECTS 1 and ECTS 2 for the timescales of MACD and SOI, respectively. The value is measured in the number of intervals that can take a value bellowing to [1,1440]:…”

Section: Chromosomes For the Time Windowsmentioning

confidence: 99%

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Collaborative Multiobjective Evolutionary Algorithms in the Search of Better Pareto Fronts: An Application to Trading Systems

Soltero,

Fernández-Blanco,

Hidalgo

2023

Applied Sciences

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Technical indicators use graphic representations of datasets by applying various mathematical formulas to financial time series of prices. These formulas comprise a set of rules and parameters whose values are not necessarily known and depend on many factors, such as the market in which they operate, the size of the time window, and so on. This paper focuses on the real-time optimization of the parameters applied for analyzing time series of data. In particular, we optimize the parameters of some technical financial indicators. We propose the combination of several Multiobjective Evolutionary Algorithms. Unlike other approaches, this paper applies a set of different Multiobjective Evolutionary Algorithms, collaborating to construct a global Pareto Set of solutions. Solutions for financial problems seek high returns with minimal risk. The optimization process is continuous and occurs at the same frequency as the investment time interval. This technique permits the application of the non-dominated solutions obtained with different MOEAs at the same time. Experimental results show that Collaborative Multiobjective Evolutionary Algorithms obtain up to 22% of profit and increase the returns of the commonly used Buy and Hold strategy and other multi-objective strategies, even for daily operations.

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“…The parameters are ECTS 1 and ECTS 2 for the timescales of MACD and SOI, respectively. The value is measured in the number of intervals that can take a value bellowing to [1,1440]:…”

Section: Chromosomes For the Time Windowsmentioning

confidence: 99%

“…The behavior of any type of financial asset, including currencies, has been observed since the creation of this type of market [1][2][3][4]. The way of conducting this study can be classified as fundamental or technical analysis.…”

Section: Introductionmentioning

confidence: 99%