These are the quantitative trading strategies group projects for QF5205, Fall 2011, National University Of Singapore.

 

Zhang Jian, Ho Ken Jom, Li Wen Ru

Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter. George Woodward, Heather Anderson. Quantitative Finance, vol. 9(8), pages 913-924. 2009.

the presentation

the report

 

Zhang Duo, Tang Wai Hoh, Fan Li

A comparison of MA and RSI returns with exchange rate intervention. Thomas C. Shik, Terence Tai-Leung Chong. Applied Economics Letters, vol. 14, Issue 5-6, pages 371-383. 2007.

the presentation

the report

the code

 

Zhang Zexuan, Lim Pao Seun, Qiao Anna

Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data. Patrik Idvall, Conny Jonsson. University essay from Linkopings universitet/Matematiska institutionen; Linkopings universitet/Matematiska institutionen. 2008.

the presentation

the report

the code

 

Zhang Fengtian, Qi Yichen, Liu Min

Predictability of nonlinear trading rules in the U.S. stock market. Terence Tai-Leung Chong, Tau-Hing Lam. Quantitative Finance, Vol 10, Issue 9, pages 1067-1076. 2010.

the presentation

the report

the code

 

Lu Hong Da, Yu Lu, Meng Shuang Shuang

Modeling and forecasting stock return volatility using a random level shift model. Lu, Yang K., Perron, Pierre. Journal of Empirical Finance, Vol 17, Issue 1, pages 138-156. 2010.

the presentation

the report

the code

 

Cheng Jinhua, Wang Dong

A dynamic analysis of moving average rules. Carl Chiarella, Xue-Zhong He and Cars Hommes. Journal of Economic Dynamics and Control, Volume 30, Issues 9-10, September-October 2006, Pages 1729-1753. 2005.

the presentation

the report

the code

 

Zhang Wen Jun, Chen Rong

Bayesian Adaptive Trading with a Daily Cycle. Robert Almgren, Julian Lorenz. The Journal of Trading, Fall 2006, Vol. 1, No. 4: pp. 38-46. 2006.

the presentation

the report

the code

 

Bai Ning, Yan Jun Gang, Huang Zhao Kun

Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. Michel Fliess, Cedric Join. Quantitative Finance Papers with number 0811.1561. 2008.

the presentation

the report

 

Toh Chang Yi Stella, Cheah Ching-Ting Cherlene

Short-term market reaction after extreme price changes of liquid stocks. ¨˘d¨˘m G. Zawadowski, Gyorgy Andor, J¨˘nos Kert¨¦sz. Quantitative Finance, Vol 6, Issue 4, pages 283-295. 2006.

the presentation

the report

 

Donny Lee, Nadim Mouchonnet

A real-time adaptive trading system using Genetic Programming. C M Jones, M A H Dempster. Quantitative Finance, Vol. 1, pages 397 - 413. 2000.

the presentation

 

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