Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102954
Authors: 
Höchstötter, Markus
Safarian, Mher
Year of Publication: 
2014
Series/Report no.: 
Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) 62
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
Document Type: 
Working Paper

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