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Can aggregate performance metric be used to predict future returns?

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dc.title Can aggregate performance metric be used to predict future returns? en
dc.contributor.author Svoboda (ÚFÚ), Jiří
dc.contributor.author Homolka, Lubor
dc.relation.ispartof Innovation and Sustainable Competitive Advantage: From Regional Development to World Economies, Vols 1-5
dc.identifier.isbn 978-0-9821489-7-6
dc.date.issued 2012
dc.citation.spage 73
dc.citation.epage 79
dc.event.title 18th International-Business-Information-Management-Association Conference
dc.event.location Istanbul
utb.event.state-en Turkey
utb.event.state-cs Turecko
dc.event.sdate 2012-05-09
dc.event.edate 2012-05-10
dc.type conferenceObject
dc.language.iso en
dc.publisher International Business Information Management Association (IBIMA) en
dc.subject performance measurement en
dc.subject backtesting en
dc.subject out of sample en
dc.subject returns en
dc.description.abstract The aim of this paper is to present an aggregate performance measure for indication of profitable trading systems. The performance measure consists of profitability, favourability, financial default and stability subindexes. The aggregate index is tested on 20 trading systems, across 16 currency pairs and evaluated on out of sample returns. Relationship between aggregate index value and out of sample returns is examined. The paper also discusses the strengths and weaknesses of elaborated model and provides possibilities to enhance the process of performance measurement of trading systems. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1003275
utb.identifier.rivid RIV/70883521:28120/12:43867868!RIV13-MSM-28120___
utb.identifier.obdid 43867957
utb.identifier.scopus 2-s2.0-84896366154
utb.identifier.wok 000317549800008
utb.source d-wok
dc.date.accessioned 2013-07-27T14:54:39Z
dc.date.available 2013-07-27T14:54:39Z
utb.contributor.internalauthor Svoboda (ÚFÚ), Jiří
utb.contributor.internalauthor Homolka, Lubor
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