Engineering Commons^™

A System Approach To Investing In Uncertain Markets, Iman Khademi

LSU Doctoral Dissertations

We consider the problem of trend-following in US stock market and propose a combined economic and technical model to approach this problem. A bank of linear and nonlinear, discrete-time, low-pass filters with different sampling rates is used to generate timing signals for US stock market indexes such as NASDAQ Composite and S&P 500. These timing signals help us find the appropriate times to step in or out of the market. Back-testing and real-time implementation results along with the risk analysis validate our model. According to the trend of the market, we may adopt a long or short position. If we …