5 F performance indicator: A robust metric for trading systems evaluation?

Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868468" target="_blank" >RIV/70883521:28120/12:43868468 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Jazyk výsledku
angličtina
Název v původním jazyce
5 F performance indicator: A robust metric for trading systems evaluation?
Popis výsledku v původním jazyce
The article is focused on capital market trading systems evaluation. An aggregate performance index is put forward to ensure a complex measurement of different dimensions of trading system performance. The model is developed in several modifications. Dynamic version of the index is put under particular scrutiny and through logistic regression is compared with three existing performance indicators. Binomial type logistic regression shows the aggregate index has higher accuracy in filtering profitable andunprofitable out-of-sample returns than the three compared indicators.
Název v anglickém jazyce
5 F performance indicator: A robust metric for trading systems evaluation?
Popis výsledku anglicky
The article is focused on capital market trading systems evaluation. An aggregate performance index is put forward to ensure a complex measurement of different dimensions of trading system performance. The model is developed in several modifications. Dynamic version of the index is put under particular scrutiny and through logistic regression is compared with three existing performance indicators. Binomial type logistic regression shows the aggregate index has higher accuracy in filtering profitable andunprofitable out-of-sample returns than the three compared indicators.

Rok uplatnění
2012
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Podobné výsledky(10)