Market timing models: constructing, implementing, & optimizing a market timing based investment strategy
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | Undetermined |
| Veröffentlicht: |
Chicago <<[u.a.]>>
Irwin Professional Publ.
1997
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXI, 214 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | CONTENTS
Introduction xiii
SECTION I
INTRODUCTION TO REGRESSION ANALYSIS
Chapter 1
Forecasting the Stock Market Using a Single
Predictor Variable 3
A Simple Model 3
The Linear Regression Model 8
Regression and Least Squares: Some Background 9
The Classical Linear Regression Model 12
Creating Forecasts and Interpreting Regression Output 14
Chapter 2
Forecasting the Stock Market Using Several
Predictor Variables 19
Adding a Second Variable to a Model 19
Looking for Additional Predictor Variables 21
Regression Results for Some New Models 25
Mechanizing the Search Process 28
A Stock Market Model Using Three Predictor Variables 30
Chapter 3
Additional Topics on Regression Models with
Several Predictor Variables 35
How Many Variables? 35
More on Correlation 41
Influence Points 42
More on Collinearity 45
More about Configuring Forecast and Predictor Variables 47
More on Squared Variation 53
ix
CONTENTS
SECTION II
four markettimincTmodels
Chapter 4
A Stock Market Model 61
The Forecast Variable 62
The Predictor Variables 63
Regression Output and Analysis 66
Chapter 5
A Bond Market Model 81
The Forecast Variable 84
The Predictor Variables 86
Regression Output and Analysis 90
Chapter 6
A Large versus Small Capitalization Relative
Performance Model 93
The Forecast Variable 96
The Predictor Variables 96
Regression Output and Analysis 99
Chapter 7
A Canadian Dollar Model 109
The Forecast Variable 110
The Predictor Variables 110
Regression Output and Analysis 113
SECTION HI
HOW TO USE MARKET TIMING FORECASTS
Chapter 8
Exploring the Potential for Gains from Market Timing 119
Setting Up a Hypothetical Investment Environment 120
X
CONTENTS
Chapter 9
Simulating Performance of Market Timing Models 131
Apparent Deviations in the Distribution of Returns 131
How Data Can Overstate Potential Gains 134
Is Something Different This Time? 136
Simulating Potential Gains from Models 137
Simulation Results 139
Chapter 10
Turning Market Forecasts into Investment Strategy 145
Exploring Some Approaches to Asset Allocation 145
A Solution to the Three-Asset Allocation Problem 154
SECTION IV
OTHER APPROACHES TO MARKET TIMINGAND^
CONCLUDING REMARKS
Chapter 11
Three Wall Street Strategies 171
Martin Zweig—Champion of the Indicators 172
Edward Kerschner—Defender of Fundamentals 176
Elaine Garzarelli—Fusion Forecaster 181
Chapter 12
Concluding Remarks 187
Appendix 1 191
Appendix 2 193
Appendix 3 195
Glossary 199
Endnotes 205
Index 211
xi
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| illustrated | Illustrated |
| indexdate | 2024-07-09T23:06:36Z |
| institution | BVB |
| language | Undetermined |
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| physical | XXI, 214 S. graph. Darst. |
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| publishDateSearch | 1997 |
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| spelling | Anderson, Richard Verfasser aut Market timing models constructing, implementing, & optimizing a market timing based investment strategy Richard Anderson Chicago <<[u.a.]>> Irwin Professional Publ. 1997 XXI, 214 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021759900&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Anderson, Richard Market timing models constructing, implementing, & optimizing a market timing based investment strategy |
| title | Market timing models constructing, implementing, & optimizing a market timing based investment strategy |
| title_auth | Market timing models constructing, implementing, & optimizing a market timing based investment strategy |
| title_exact_search | Market timing models constructing, implementing, & optimizing a market timing based investment strategy |
| title_full | Market timing models constructing, implementing, & optimizing a market timing based investment strategy Richard Anderson |
| title_fullStr | Market timing models constructing, implementing, & optimizing a market timing based investment strategy Richard Anderson |
| title_full_unstemmed | Market timing models constructing, implementing, & optimizing a market timing based investment strategy Richard Anderson |
| title_short | Market timing models |
| title_sort | market timing models constructing implementing optimizing a market timing based investment strategy |
| title_sub | constructing, implementing, & optimizing a market timing based investment strategy |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021759900&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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