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Quantitative Finance Volume 11, 2011 - Issue 6
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Research Papers

A profitable trading and risk management strategy despite transaction costs

Ahmet Duran Department of Mathematics, University of Michigan, Ann Arbor, MI 48109, USACorrespondence[email protected]
&
Michael J. Bommarito Department of Mathematics, Financial Engineering, and Center for the Study of Complex Systems, University of Michigan, Ann Arbor, MI 48109, USA
Pages 829-848 | Received 12 Oct 2008, Accepted 19 Oct 2009, Published online: 28 Apr 2010

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Jordan Mann & J. Nathan Kutz. (2016) Dynamic mode decomposition for financial trading strategies. Quantitative Finance 16:11, pages 1643-1655.
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Articles from other publishers (11)

Saleh Albahli, Tahira Nazir, Marriam Nawaz & Aun Irtaza. (2023) An improved DenseNet model for prediction of stock market using stock technical indicators. Expert Systems with Applications 232, pages 120903.
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Mehmet Tunçel & Ahmet Duran. (2023) Effectiveness of grid and random approaches for a model parameter vector optimization. Journal of Computational Science 67, pages 101960.
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Joerg Osterrieder & Michael Seigne. (2023) Unraveling Market Mysteries: A Comprehensive Review of Financial Anomalies and Puzzles. SSRN Electronic Journal.
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Joerg Osterrieder & Michael Seigne. (2023) Unraveling market mysteries: a comprehensive review of financial anomalies and puzzles. Open Research Europe 3, pages 172.
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Gurdal Ertek, Aysha Al-Kaabi & Aktham Issa Maghyereh. (2022) Analytical Modeling and Empirical Analysis of Binary Options Strategies. Future Internet 14:7, pages 208.
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Furkan GÖKTAŞ & Ahmet DURAN. (2020) Olabilirlik ortalama – varyans modelinin matematiksel analiziMathematical analysis of the possibilistic mean – variance model. Balıkesir Üniversitesi Fen Bilimleri Enstitüsü Dergisi 22:1, pages 80-91.
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Michael J. BommaritoIIII & Ahmet Duran. (2018) Spectral analysis of time-dependent market-adjusted return correlation matrix. Physica A: Statistical Mechanics and its Applications 503, pages 273-282.
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Yauheniya Shynkevich, T.M. McGinnity, Sonya A. Coleman, Ammar Belatreche & Yuhua Li. (2017) Forecasting price movements using technical indicators: Investigating the impact of varying input window length. Neurocomputing 264, pages 71-88.
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Ahmet Duran & Burhaneddin İzgi. (2015) Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm. Journal of Computational and Applied Mathematics 281, pages 126-134.
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Ahmet Duran, M. Serdar Celebi, Mehmet Tuncel & Figen Oztoprak. 2014. Advances in Applied Mathematics. Advances in Applied Mathematics 153 160 .
Michael James Bommarito. (2010) The Race to the Bund: Aggregate European and State-Level Integration from the EEC to Present. SSRN Electronic Journal.
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