Advanced investment strategies in environment of financial markets

Jan Budík

Ekonomika a Management, 2012, vol. 2012, issue 3, 82-92

Abstract: The main goal of this paper is proposing of economic model of advanced investment strategies based on a priori knowledge of expert for financial decision making. There is described a priori knowledge in detail, which is based on volatility increasing of selected financial instruments in selected time periods in terms of intraday price movements. Proposed advanced investment strategies work with currency pairs EUR/USD, GBP/USD and USD/JPY. For each currency pair is found optimal parameter by statistical analysis. The optimization process found optimal parameters for enter to speculative position, exit from speculative position and filtering based on the current market volatility. Verification of proposed advanced investment strategy model is verified for all currency pairs for time period from 1.4.2010 to 1.4.2012. Distribution of profits and losses for each currency pair has a low correlation value and is appropriate to use these three currency pairs in a diversified investment portfolio.

Keywords: Currency; prediction; optimization; fuzzy logic; genetic algorithm; Měny; predikce; optimalizace; fuzzy logika; genetické algoritmy (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2012
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