External Documents
Reference
Schmidt, G., E. Mohr, & Kersch, M. (2009). Experimental Analysis of a Threat-based Online Trading Algorithm (Working Paper Department of Information- and Technology Management). Saarland University.
Publication type
Working Paper
Abstract
Trading decisions in financial markets can be supported by the use of online algorithms. We evaluate the empirical performance of a threat-based online algorithm and compare it to a reservation price algorithm, an average price algorithm and to buy-and-hold. The effectiveness of the algorithms is analyzed with historical DAX prices for the years 1998 to 2007. Performance measures are geometric return and period return. The performance of the threatbased algorithm found in the simulation runs dominates all other investigated algorithms. We also compare its performance to results from worst case analysis and conduct a t-test.
Persons
Organizational Units
- Institute of Information Systems