Importance of the utilization of different frequency data in the implementation of active strategies of management based on the use of moving averages on spanish financial futures markets.
- Celant, Attilio (coord.)
- 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
Abstract
The aim of this paper is to evaluate the importance that the temporary frequency of the data used for the calculation of moving averages could have in the implementation of active strategies based on them. We verify if the use of moving averages with different frequency (1, 5 and 15 minutes) has a significant importance in the yields reached with this investment technique. Likewise we contrast the efficient market hypothesis analyzing the differences between yields of a passive strategy, consisting on the purchase and maintenance of the asset and yields obtained through moving averages operative. Finally, we verify if the risk assumed establishing active strategy is less than the one of passive strategy of buying and supporting. The study has been realized from the intraday quotations of IBEX 35 future during the period 2000-2008.