Develop Calendar Effect-based Trading Strategy Using Time-series Modeling and Artificial Intelligence Methods
碩士 === 國立交通大學 === 資訊管理研究所 === 104 === This paper focuses on analyzing and modeling the calendar anomalies in the 502 component stocks of S&P 500 Index. The research target of Day-of-the-week effect is defined as “daily return on Mondays could be lower than it on previous Friday”. Compared to the...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/47925875640239653421 |