Are random trading strategies more successful than technical ones?

A. E. Biondo, A. Pluchino, A. Rapisarda and D. Helbing

Papers from arXiv.org

Abstract: In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes, with the goal of comparing them with the performance of a completely random strategy. In this respect, historical data for FTSE-UK, FTSE-MIB, DAX, and S&P500 indexes are taken into account for a period of about 15-20 years (since their creation until today).

Date: 2013-03, Revised 2013-07
New Economics Papers: this item is included in nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Published in PLoS ONE 8(7): e68344 (2013)

Downloads: (external link)
http://arxiv.org/pdf/1303.4351 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1303.4351

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().