By a News Reporter-Staff News Editor at Investment Weekly News -- A new study on Economics - Computational Economics is now available. According to news reporting originating from Berlin, Germany, by VerticalNews correspondents, research stated, “This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. Statistical tests confirm the presence of overreactions and also suggest that there is an ‘inertia anomaly’, i.e. after an overreaction day prices tend to move in the same direction for some time.”
Financial support for this research came from Brunel University.
Our news editors obtained a quote from the research from German Institute for Economic Research, “A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but in some cases it can be profitable in the US stock market.”
According to the news editors, the research concluded: “By contrast, a strategy exploiting the ‘inertia anomaly’ produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.”
For more information on this research see: Short-Term Price Overreactions: Identification, Testing, Exploitation. Computational Economics , 2018;51(4):913-940. Computational Economics can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Computational Economics - http://www.springerlink.com/content/0927-7099/)
The news editors report that additional information may be obtained by contacting G.M. Caporale, DIW Berlin, Berlin, Germany. Additional authors for this research include L. Gil-Alana and A. Plastun.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s10614-017-9651-2. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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CITATION: (2018-04-21), New Computational Economics Data Have Been Reported by Investigators at German Institute for Economic Research (Short-Term Price Overreactions: Identification, Testing, Exploitation), Investment Weekly News, 520, ISSN: 1945-8185, BUTTER® ID: 015502064
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