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文章基本信息

  • 标题:Anomaly Correction by Optimal Trading Frequency
  • 本地全文:下载
  • 作者:Yiqiao Yin
  • 期刊名称:Columbia Undergraduate Science Journal
  • 印刷版ISSN:1932-765X
  • 电子版ISSN:1932-7641
  • 出版年度:2017
  • 卷号:11
  • 期号:2017
  • 语种:English
  • 出版社:Columbia Undergraduate Science Journal
  • 摘要:Abstract Under the assumption that security prices follow random walk, we look at price versus different moving averages. Different periods of moving averages give investor different signals and we assume that a rational investor would want to buy more when the price goes down. This paper provides a theoretical model for an investor to systematically buy heavy when the security prices go down.
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