Ella asked in 社會與文化語言 · 1 decade ago


Market Efficiency in the Second-hand Market

for Bulk Ships

Filter rules: Fama and Blume (1966) explain the standard filter rule as


‘An x per cent filter is defined as follows: If the daily closing price of a

particular security moves up at least x per cent, buy and hold the security

until its price moves down at least x per cent from a subsequent high, at

which time simultaneously sell and go short. The short position is

maintained until the daily closing price rises at least x per cent above a

subsequent low at which one covers and buys. Moves less than x per cent in

either direction are ignored.’

A subsequent high is interpreted as the highest closing price achieved while

holding a particular long position. Likewise, a subsequent low is the lowest

closing price achieved while being out of the market (no short sales are

possible). .

Moving averages: The standard MA crossover rule generates a buy (sell)

signal when the asset price penetrates the MA from below (above). Hence, a

long position is retained as long as the price trend remains above the MA, and

alternatively, as long as a fast MA remains above a slow MA, where the slow

MA is calculated over a greater number of months. Two types of filters may be

imposed to filter out false (loss-making) trading signals. Firstly, the fixed

percentage band filter requires that the difference between the slow MA and the

fast MA exceeds b% of the slow MA in order to execute a buy or sell signal. The

introduction of a band reduces the number of ‘whiplash’ buy and sell signals

when the short-and long-term MAs are close. Secondly, the time delay filter

requires that the signal remains valid for a certain number of months, c, before

action is taken.


1 Answer

  • 1 decade ago
    Favorite Answer



    過濾器規則: Fama 和 Blume(1966) 解釋標準的過濾器規則當做


    ’每分過濾器 x 依下列各項被定義: 如果每日收盤價一

    在至少每分 x 上面的特別安全移動,買而且支撐安全

    直到它的價格至少移動下來來自一個後來的高度的每分 x,在

    哪一個時間同時地賣而且變短。 短位置是


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