%0 Journal Article
%T An empirical evaluation of non-linear trading rules.
%A Andrada - F¨¦lix
%A Juli¨¢n
%A Fern¨¢ndez- Rodr¨ªguez
%A Fernando
%A Garc¨ªa- Artiles
%A Mar¨ªa Dolores
%A Sosvilla-Rivero
%A Sim¨®n
%J Rect@
%D 2003
%I ASEPUMA. Asociaci¨®n Espa?ola de Profesores Universitarios de Matematicas aplicadas a la Economia y la Empresa
%X In this paper we investigate the profitability of non-linear trading rules based on nearest neighbour (NN) predictors. Applying this investment strategy to the New York Stock Exchange, our results suggest that, taking into account transaction costs, the NN-based trading rule is superior to both a riskadjusted buy-and-hold strategy and a linear ARIMA-based strategy in terms of returns for all of the years studied (1997-2002). Regarding other profitability measures, the NN-based trading rule yields higher Sharpe ratios than the ARIMA-based strategy for all of the years in the sample except for 2001. As for 2001, in 36 out of the 101 cases considered, the ARIMA-based strategy gives higher Sharpe ratios than those from the NN-trading rule, in 18 cases the opposite is true, and in the remaining 36 cases both strategies yield the same ratios.
%K Technical trading rules
%K Nearest neighbour predictors
%K Security markets
%U http://urls.my/UKnJhr