TLSMAPs and TLSMAP intercepts of the combined strategy with different moving average window length (IMAGE)

Shanghai Jiao Tong University Journal Center

TLSMAPs and TLSMAP intercepts of the combined strategy with different moving average window length

Caption

First, when the time length is less than 28 days (0<M<28), TLSMAP increases monotonically with time length. TLSMAP peaks at M = 28 (0.0007), suggesting that the combined strategy has the highest profitability at the 28 day time length (about one month). When the time length is greater than 28 (28 < M ≤ 140), the TLSMAP curves decrease monotonically with time length. Second, when M is below 119 days, the TLSMAPs are positive; however, when M is greater than 119 days (119 < M≤140), the TLSMAPs start to turn negative. The TLSMAP intercept curves have similar patterns to the TLSMAP curves.

Credit

Bo Yu (City University of Macau, China)

Usage Restrictions

This Original Content image is restricted for Non - Commercial Use Only and must include proper attribution to the creator.

License

Original content

Disclaimer: AAAS and EurekAlert! are not responsible for the accuracy of news releases posted to EurekAlert! by contributing institutions or for the use of any information through the EurekAlert system.