메뉴 건너뛰기




Volumn 8, Issue 7, 2013, Pages

Are Random Trading Strategies More Successful than Technical Ones?

Author keywords

[No Author keywords available]

Indexed keywords

ARTICLE; COMMERCIAL PHENOMENA; COMPETITIVE BEHAVIOR; COST BENEFIT ANALYSIS; ECONOMIC ASPECT; FINANCIAL MANAGEMENT; MARKETING; MOMETUM STRATEGY; MOVING AVERAGE CONVERGENCE DIVERGENCE STRATEGY; RANDOM STRATEGY; RANDOM TRADING STRATEGY; RELATIVE STRENGTH INDEX STRATEGY; SOCIOECONOMICS; UP AND DOWN PERSISTENCY STRATEGY;

EID: 84880058183     PISSN: None     EISSN: 19326203     Source Type: Journal    
DOI: 10.1371/journal.pone.0068344     Document Type: Article
Times cited : (69)

References (60)
  • 2
  • 4
    • 0001141743 scopus 로고    scopus 로고
    • Noise enhanced stability in an unstable system
    • Mantegna R, Spagnolo B, (1996) Noise enhanced stability in an unstable system. Phys. Rev. Lett. 76: 563-566.
    • (1996) Phys. Rev. Lett , vol.76 , pp. 563-566
    • Mantegna, R.1    Spagnolo, B.2
  • 5
    • 78149343811 scopus 로고    scopus 로고
    • Noise-Enhanced Classical and Quantum Capacities in Communication Networks
    • Caruso F, Huelga SF, Plenio MB, (2010) Noise-Enhanced Classical and Quantum Capacities in Communication Networks. Phys. Rev. Lett. 105(198): 190501.
    • (2010) Phys. Rev. Lett , vol.105 , Issue.198 , pp. 190501
    • Caruso, F.1    Huelga, S.F.2    Plenio, M.B.3
  • 8
    • 70350571235 scopus 로고    scopus 로고
    • The Peter Principle revisited: a computational study
    • Pluchino A, Rapisarda A, Garofalo C, (2010) The Peter Principle revisited: a computational study. Physica A 389: 467-472 Available: http://oldweb.ct.infn.it/cactus/peter-links.html.
    • (2010) Physica A , vol.389 , pp. 467-472
    • Pluchino, A.1    Rapisarda, A.2    Garofalo, C.3
  • 9
    • 79961028719 scopus 로고    scopus 로고
    • Efficient promotion strategies in hierarchical organizations
    • Pluchino A, Rapisarda A, Garofalo C, (2011) Efficient promotion strategies in hierarchical organizations. Physica A 390: 3496-3511.
    • (2011) Physica A , vol.390 , pp. 3496-3511
    • Pluchino, A.1    Rapisarda, A.2    Garofalo, C.3
  • 10
    • 80054921559 scopus 로고    scopus 로고
    • Accidental Politicians: How Randomly Selected Legislators Can improve Parliament Efficiency
    • Pluchino A, Rapisarda A, Garofalo C, Spagano S, Caserta M, (2011) Accidental Politicians: How Randomly Selected Legislators Can improve Parliament Efficiency. Physica A, 2011 390: 3944-3954 Available: http://www.pluchino.it/Parliament.html.
    • (2011) Physica A, 2011 , vol.390 , pp. 3944-3954
    • Pluchino, A.1    Rapisarda, A.2    Garofalo, C.3    Spagano, S.4    Caserta, M.5
  • 11
    • 38149117136 scopus 로고    scopus 로고
    • Illusion of control' in Time-Horizon Minority and Parrondo Games
    • Satinover JB, Sornette D, (2007) 'Illusion of control' in Time-Horizon Minority and Parrondo Games. Eur. Phys. J. B 60: 369-384.
    • (2007) Eur. Phys. J. B , vol.60 , pp. 369-384
    • Satinover, J.B.1    Sornette, D.2
  • 12
    • 67349250450 scopus 로고    scopus 로고
    • Illusory versus Genuine Control in Agent-Based Games
    • Satinover JB, Sornette D, (2009) Illusory versus Genuine Control in Agent-Based Games. Eur. Phys. J. B. 67: 357-367.
    • (2009) Eur. Phys. J. B , vol.67 , pp. 357-367
    • Satinover, J.B.1    Sornette, D.2
  • 13
    • 70450255278 scopus 로고    scopus 로고
    • Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
    • Gilles D, Sornette D, Woehrmann P, (2009) Look-Ahead Benchmark Bias in Portfolio Performance Evaluation. Journal of Portfolio Management 36(1): 121-130.
    • (2009) Journal of Portfolio Management , vol.36 , Issue.1 , pp. 121-130
    • Gilles, D.1    Sornette, D.2    Woehrmann, P.3
  • 14
    • 13844307744 scopus 로고    scopus 로고
    • The predictive power of zero intelligence in financial markets, PNAS
    • Farmer JD, Patelli P, Zovko II, (2005) The predictive power of zero intelligence in financial markets, PNAS. 102: 2254-2259.
    • (2005) , vol.102 , pp. 2254-2259
    • Farmer, J.D.1    Patelli, P.2    Zovko, I.I.3
  • 17
    • 84875576640 scopus 로고    scopus 로고
    • The Beneficial Role of Random Strategies in Social and Financial Systems
    • doi: 10.1007/s10955-013-0691-2
    • Biondo AE, Pluchino A, Rapisarda A, (2013) The Beneficial Role of Random Strategies in Social and Financial Systems. Journal of Statistical Physics 151: 607-622 doi: 10.1007/s10955-013-0691-2.
    • (2013) Journal of Statistical Physics , vol.151 , pp. 607-622
    • Biondo, A.E.1    Pluchino, A.2    Rapisarda, A.3
  • 19
    • 85009993869 scopus 로고    scopus 로고
    • The long term value of analysts advice in the Wall Street Journals investment dartboard contest
    • Porter GE, (2004) The long term value of analysts advice in the Wall Street Journals investment dartboard contest. J. Appl. Finance 14: 720.
    • (2004) J. Appl. Finance , vol.14 , pp. 720
    • Porter, G.E.1
  • 22
    • 0002135844 scopus 로고
    • The Role of Monetary Policy
    • Friedman M, (1968) The Role of Monetary Policy. The American Economic Review 58(1): 1-17.
    • (1968) The American Economic Review , vol.58 , Issue.1 , pp. 1-17
    • Friedman, M.1
  • 23
    • 0000185258 scopus 로고
    • Phillips Curve Expectations of Ination, and Output Unemployment Over Time
    • Phelps E, (1967) Phillips Curve Expectations of Ination, and Output Unemployment Over Time. Economica 34(135): 254-281.
    • (1967) Economica , vol.34 , Issue.135 , pp. 254-281
    • Phelps, E.1
  • 24
    • 0002373493 scopus 로고
    • The Monetary Dynamics of Hyperination
    • Friedman M, editor, Chicago: University of Chicago Press
    • Cagan P (1956) The Monetary Dynamics of Hyperination. In Friedman M, editor. Studies in the Quantity Theory of Money. Chicago: University of Chicago Press.
    • (1956) Studies in the Quantity Theory of Money
    • Cagan, P.1
  • 25
    • 0010793131 scopus 로고
    • A Note on Expectations and Stability
    • Arrow KJ, Nerlove M, (1958) A Note on Expectations and Stability. Econometrica 26: 297-305.
    • (1958) Econometrica , vol.26 , pp. 297-305
    • Arrow, K.J.1    Nerlove, M.2
  • 26
    • 0001281286 scopus 로고
    • Rational Expectation and the Theory of Price Movements
    • Muth JF, (1961) Rational Expectation and the Theory of Price Movements. Econometrica 29: 315-335.
    • (1961) Econometrica , vol.29 , pp. 315-335
    • Muth, J.F.1
  • 27
    • 49649131398 scopus 로고
    • Expectations and the Neutrality of Money
    • Lucas RE, (1972) Expectations and the Neutrality of Money. Journal of Economic Theory 4: 103-124.
    • (1972) Journal of Economic Theory , vol.4 , pp. 103-124
    • Lucas, R.E.1
  • 28
    • 0001527610 scopus 로고
    • Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule
    • Sargent TJ, Wallace N, (1975) Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule. Journal of Political Economy 83(2): 241-254.
    • (1975) Journal of Political Economy , vol.83 , Issue.2 , pp. 241-254
    • Sargent, T.J.1    Wallace, N.2
  • 29
    • 0000480869 scopus 로고
    • Efficient Capital Markets: a Review of Theory and Empirical Work
    • Fama EF, (1970) Efficient Capital Markets: a Review of Theory and Empirical Work. Journal of Finance 25: 383-423.
    • (1970) Journal of Finance , vol.25 , pp. 383-423
    • Fama, E.F.1
  • 30
    • 0001281632 scopus 로고
    • Some anomalous evidence regarding market efficiency
    • Jensen M, (1978) Some anomalous evidence regarding market efficiency. Journal of Financial Economics 6: 95-101.
    • (1978) Journal of Financial Economics , vol.6 , pp. 95-101
    • Jensen, M.1
  • 34
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of UK ination, Econometrica
    • Engle R, (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of UK ination, Econometrica. 50: 987-1008.
    • (1982) , vol.50 , pp. 987-1008
    • Engle, R.1
  • 35
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot BB, (1963) The variation of certain speculative prices. Journal of Business 36: 394-419.
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.B.1
  • 37
    • 0001198488 scopus 로고    scopus 로고
    • The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks
    • Lux T, (1996) The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks. Applied Financial Economics 6: 463-475.
    • (1996) Applied Financial Economics , vol.6 , pp. 463-475
    • Lux, T.1
  • 39
    • 0000007521 scopus 로고    scopus 로고
    • The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    • Campbell JY, Shiller R, (1998) The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1: 195-227.
    • (1998) Review of Financial Studies , vol.1 , pp. 195-227
    • Campbell, J.Y.1    Shiller, R.2
  • 40
    • 0001864191 scopus 로고
    • Pathways to Randomness in the Economy: Emergent Non-Linearity and Chaos in Economics and Finance
    • Brock WA, (1993) Pathways to Randomness in the Economy: Emergent Non-Linearity and Chaos in Economics and Finance. Estudios Económicos 8: 3-55.
    • (1993) Estudios Económicos , vol.8 , pp. 3-55
    • Brock, W.A.1
  • 41
    • 0006083919 scopus 로고    scopus 로고
    • Asset Prices Behavior in Complex Environments
    • Arthur WB, Durlauf SN, Lane DA, editors, Reading, MA: Addison-Wesley
    • Brock WA (1997) Asset Prices Behavior in Complex Environments. In: Arthur WB, Durlauf SN, Lane DA, editors. The Economy as an Evolving Complex System II. Reading, MA: Addison-Wesley. 385-423 p.
    • (1997) The Economy as an Evolving Complex System II , pp. 385-423
    • Brock, W.A.1
  • 42
    • 0001288049 scopus 로고    scopus 로고
    • A Rational Route to Randomness
    • Brock WA, Hommes CH, (1997) A Rational Route to Randomness. Econometrica 65: 1059-1095.
    • (1997) Econometrica , vol.65 , pp. 1059-1095
    • Brock, W.A.1    Hommes, C.H.2
  • 43
    • 0001380566 scopus 로고
    • The Dinamics of Speculative Behavior
    • Chiarella C, (1992) The Dinamics of Speculative Behavior. Annals of Operations Research 37: 101-123.
    • (1992) Annals of Operations Research , vol.37 , pp. 101-123
    • Chiarella, C.1
  • 46
    • 0002182880 scopus 로고
    • Chartists, Fundamentalists and the Demand for Dollars
    • Frankel JA, Froot KA, (1988) Chartists, Fundamentalists and the Demand for Dollars. Greek Economic Review 10: 49-102.
    • (1988) Greek Economic Review , vol.10 , pp. 49-102
    • Frankel, J.A.1    Froot, K.A.2
  • 47
    • 0000015564 scopus 로고
    • Herd Behavior, Bubbles and Crashes
    • Lux T, (1995) Herd Behavior, Bubbles and Crashes. The Economic Journal 105: 881-896.
    • (1995) The Economic Journal , vol.105 , pp. 881-896
    • Lux, T.1
  • 48
    • 84937302781 scopus 로고
    • A Model of Competitive Stock Trading Volume
    • Wang J, (1994) A Model of Competitive Stock Trading Volume. Journal of Political Economy 102: 127-168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1
  • 50
    • 85015692260 scopus 로고
    • The Valuation of Options and Corporate Liabilities, Journal of Political Economy
    • Black F, Scholes M, (1973) The Valuation of Options and Corporate Liabilities, Journal of Political Economy. 81: 637-654.
    • (1973) , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 52
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates, Econometrica
    • Cox JC, Ingersoll JE, Ross SA, (1985) A Theory of the Term Structure of Interest Rates, Econometrica. 53: 385-408.
    • (1985) , vol.53 , pp. 385-408
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 53
    • 84977709229 scopus 로고
    • The Pricing of Options on Assets with Stochastic Volatilities
    • Hull JC, White A, (1987) The Pricing of Options on Assets with Stochastic Volatilities. Journal of Finance 42: 281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.C.1    White, A.2
  • 54
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power-law distributions in financial market uctuations
    • Gabaix X, Gopikrishnan P, Plerou V, Stanley HE, (2003) A theory of power-law distributions in financial market uctuations. Nature 423: 267-72.
    • (2003) Nature , vol.423 , pp. 267-272
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 55
    • 84864400321 scopus 로고    scopus 로고
    • On the non-stationarity of financial time series: impact on optimal portfolio selection
    • doi 10.1088/1742-5468/2012/07/P07025
    • Livan G, Inoue J, Scalas E (2012) On the non-stationarity of financial time series: impact on optimal portfolio selection. Journal of Statistical Mechanics. doi:10.1088/1742-5468/2012/07/P07025.
    • (2012) Journal of Statistical Mechanics
    • Livan, G.1    Inoue, J.2    Scalas, E.3
  • 56
    • 5444248119 scopus 로고    scopus 로고
    • Time dependent Hurst exponent in financial time series
    • Carbone A, Castelli G, Stanley HE, (2004) Time dependent Hurst exponent in financial time series. Physica A 344: 267-271.
    • (2004) Physica A , vol.344 , pp. 267-271
    • Carbone, A.1    Castelli, G.2    Stanley, H.E.3
  • 58
    • 0037037872 scopus 로고    scopus 로고
    • Volatility clustering and scaling for financial time series due to attractor bubbling
    • 158701
    • Krawiecki A, Holyst JA, Helbing D (2002) Volatility clustering and scaling for financial time series due to attractor bubbling. Physical Review Letters 89, 158701.
    • (2002) Physical Review Letters , vol.89
    • Krawiecki, A.1    Holyst, J.A.2    Helbing, D.3
  • 60
    • 80054700820 scopus 로고    scopus 로고
    • Herding effects in order driven markets: The rise and fall of gurus
    • doi 10.1016/j.jebo.2011.09.006
    • Tedeschi G, Iori G, Gallegati M, (2012) Herding effects in order driven markets: The rise and fall of gurus. Journal of Economic Behavior & Organization 81: 82-96 doi:10.1016/j.jebo.2011.09.006.
    • (2012) Journal of Economic Behavior & Organization , vol.81 , pp. 82-96
    • Tedeschi, G.1    Iori, G.2    Gallegati, M.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.