مقایسه پیش بینانه از مدل های کمی جایگزین: یک روش شبیه سازی تجارت در مهندسی مالی

We find that both quantitative models are able to forecast the future movements of the market accurately, which yields significant risk adjusted returns compared to the overall market during the out-of-sample period. In addition, although the ARMA-GARCH model is better than the ARMA model theoretically and statistically, the latter outperforms the former with significantly higher trading performances.