Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/102954 
Year of Publication: 
2014
Series/Report no.: 
KIT Working Paper Series in Economics No. 62
Publisher: 
Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON), Karlsruhe
Abstract: 
We apply the well-known CUSUM and the Girshick-Rubin algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Frankfurt mid-day auction prices. We select optimal pairs of fixed thresholds for up- and down-movements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the CUSUM technique not only outperforms the passive investment in the DAX but also the alternative Girshick-Rubin algorithm.
Subjects: 
CUSUM
Girshick-Rubin
trading algorithm
DAX
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.