A Stock Trading Strategy Based on Time-Varying Quantile Theory

Abstract

Many of the trading strategies viewed as highly important by to financial market investors, we developed based on fundamental and technical analysis. We propose a stock trading strategy based on time-varying quantile analysis and apply it to the stock market in the People’s Republic of China. Comparing results for both the buy-and-hold strategy and a popular NARX-based neural network trading strategy showed that our strategy performed well.