Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142154
Authors: 
Höchstötter, Markus
Safarian, Mher M.
Krumetsadik, Anna
Year of Publication: 
2016
Series/Report no.: 
Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) 91
Abstract: 
We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.
Subjects: 
CUSUM
Girshick-Rubin
Graversen-Peskir-Shiryaev
Brodsky-Darkovsky
trading algorithm
DAX
Document Type: 
Working Paper

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