Are effective the moving averages applied to high information frequency on the spanish future market?

  1. Ruiz Herrán, Vicente
  2. Pérez Martínez, Miguel Angel
  3. Olasolo Sogorb, Aitziber
Book:
Creativity and survival of the firm under uncertainty
  1. Celant, Attilio (coord.)
  2. Iturralde, Txomin (coord.)

Publisher: Academia Europea de Dirección y Economía de la Empresa, AEDEM

ISBN: 978-84-692-5174-4

Year of publication: 2009

Type: Book chapter

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Abstract

The aim of this paper is to analyze the efficiency of the Spanish Future Market, through moving averages evaluation with the purpose of verifying its effectiveness in the Spanish intraday future market. We would like to prove that using them without any other type of complementary information, a greater yield can be obtained than if we carry out a passive strategy consisting on the purchase and maintenance of the assets considered until the conclusion of each session. The effectiveness of this indicator is evaluated considering a wide range of periods. The data base chosen is composed of the intraday quotations of IBEX 35 future with a regularity of a minute during the period 2000-2008.

Data source: Dialnet