Trading strategies: Effectiveness and market volatility.

Title: Trading strategies: Effectiveness and market volatility.
Identifier: AAI9304684
identifier: 9304684
Creator: Kim, Gew-rae.
Contributor: Adviser: Marvin Speiser
Date: 1992
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Business Administration, General | Economics, Commerce-Business
Abstract: Stock market models with six trading strategies are simulated. (1) Constant rebalancing investor, (2) Universal portfolio investor, (3) CPPI (Constant proportion portfolio insurer), (4) ORPI (Option replicating portfolio insurer), (5) Technical noise trader with CHRISMA and (6) Information noise trader are included to see their profitability and impact on market volatility. Limit orders, Market orders, and Stop orders are also used to see their impact on profitability and market volatility. Simulation results show that more CPPI leads to greater market volatility, next is ORPI, the third is Information noise traders and there is little or no impact of other strategies. Profitability results show Universal portfolio and Constant rebalancers are generally winners and Portfolio insurers are losers. Especially CHRISMA type of Technical noise traders are the worst. More investors using Market orders impact relatively more on market volatility and trading volume. Market orders enhance Information noise traders profitability.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.