In this paper we design a simple trading strategy to exploit the distinct informational content of the arithmetic and geometric mean. The profits. generated by this trading scheme, which is easily reproducible for any market participant, cannot be expected to sustain. Tehereofre we take resort to forecasting the averages using linear as well as neural network models in order to gain a competitive advantage relative to the other investors. Refining the trading scheme using the forecasts further increases the mean return as compared to a buy and hold strategy.
展开▼
