A Stock Trading Strategy Based on Time-Varying Quantile Theory
Tiantian Liu, Ning Qiu, and Wentao Gu
Department of Statistics, Zhejiang Gongshang University
Hang Zhou 310018, China
Many of the trading strategies viewed as highly important by to financial market investors, we developed based on fundamental and technical analysis. We propose a stock trading strategy based on time-varying quantile analysis and apply it to the stock market in the People’s Republic of China. Comparing results for both the buy-and-hold strategy and a popular NARX-based neural network trading strategy showed that our strategy performed well.
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