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1、QuantitativeFinance,Vol.11,No.6,June2011,829–848AprofitabletradingandriskmanagementstrategydespitetransactioncostsAHMETDURAN*yandMICHAELJ.BOMMARITOzyDepartmentofMathematics,UniversityofMichigan,AnnArbor,MI48109,USAzDepartmentofMathematics,FinancialEngineering,andCenterfortheStudyofC
2、omplexSystems,UniversityofMichigan,AnnArbor,MI48109,USA(Received12October2008;infinalform19October2009)Wepresentanewprofitabletradingandriskmanagementstrategywithtransactioncostforanadaptiveequallyweightedportfolio.Moreover,weimplementarule-basedexpertsystemforthedailyfinancialdecis
3、ion-makingprocessusingthepowerofspectralanalysis.Weuseseveralkeycomponentssuchasprincipalcomponentanalysis,partitioning,memoryinstockmarkets,percentileforrelativestanding,thefirstfournormalizedcentralmoments,learningalgorithm,andswitchingamongseveralinvestmentpositionsconsistingofsh
4、ortstockmarket,longstockmarketandmoneymarketwithrealrisk-freerates.Wefindthatitispossibletobeattheproxyfortheequitymarketwithoutshortsellingfor168S&P500-listedstocksduringthe1998–2008periodand213Russell2000-listedstocksduringthe1995–2007period.OurMonteCarlosimulationforboththevariou
5、ssetofstocksandtheintervaloftimeconfirmsourfindings.Keywords:Behavioralfinance;Anomaliesinprices;Marketefficiency;Marketprediction;Overreaction;Computationalfinance;Financialmarkets;Financialmodelling1.Introductiondecomposethecorrelationmatrixintomarket,group(sector),andtheWishartra
6、ndombulk(noiseterms).AlgorithmictradingandriskmanagementaresignificantItisverychallengingtofindaprofitableinvestmenttopicsintheinvestmentliterature.Weproposeanewstrategyinthestockmarket.CaginalpandLaurent(1998)algorithmicapproachthatusesspectralpropertiesofperformedthefirstsuccessfu
7、lscientifictestforthisempiricalstockcorrelationmatricesrelatedtorandompurposebyfollowinganout-of-sampleprocedureonamatrixtheoryandmultivariateanalysis(Wishart1928,largescaledataset.Theyobservedastatisticallysignif-MarchenkoandPastur1967,Mehta1995,Hardleandicantprofitofalmost1%during
8、atwo-dayholdingSima
