A simple algorithm based on fluctuations to play the market - Quantitative Finance > Portfolio ManagementReport as inadecuate




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Abstract: In Biology, all motor enzymes operate on the same principle: they trapfavourable brownian fluctuations in order to generate directed forces and tomove. Whether it is possible or not to copy one such strategy to play themarket was the starting point of our investigations. We found the answer isyes. In this paper we describe one such strategy and appraise its performancewith historical data from the European Monetary System (EMS), the US Dow Jones,the german Dax and the french Cac40.



Author: L. Gil

Source: https://arxiv.org/







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