JACIII Vol.19 No.3 pp. 417-422
doi: 10.20965/jaciii.2015.p0417


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

December 29, 2013
February 27, 2015
May 20, 2015
time-varying quantile, kernel density, trading strategy, NARX model
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.
Cite this article as:
T. Liu, N. Qiu, and W. Gu, “A Stock Trading Strategy Based on Time-Varying Quantile Theory,” J. Adv. Comput. Intell. Intell. Inform., Vol.19 No.3, pp. 417-422, 2015.
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