Open AccessAnomaly Correction by Optimal Trading Frequency
Author(s) -
Yiqiao Yin
Publication year - 2020
Publication title -
columbia undergraduate science journal
Language(s) - English
Resource type - Journals
eISSN - 1932-765X
pISSN - 1932-7641
DOI - 10.52214/cusj.v11i.6360
Subject(s) - anomaly (physics) , random walk , econometrics , economics , financial economics , trading strategy , investor profile , mathematics , behavioral economics , microeconomics , statistics , physics , condensed matter physics
Under the assumption that security prices follow random walk, we look at price versus different moving averages. Different periods of moving averages give investor different signals and we assume that a rational investor would want to buy more when the price goes down. This paper provides a theoretical model for an investor to systematically buy heavy when the security prices go down.