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A prediction model that is correct $50\%$ of the time can be profitable if the model gains more when it is right than it loses when it is wrong. You could simplify it like this: A trading strategy is profitable if your trades have positive expected value. Now suppose that your gains when your model is right equals the losses when your model is wrong. If ...


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I will try to answer both of your questions together. First, regarding a standard for calculating price momentum I would say no, there is no universal standard. In addition to what is simply called the momentum indicator (which @chjortlund described in his answer), there are dozens of additional momentum indicators, and each puts an emphasis on ...


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I saw this paper by Deutsche through FT Alphaville Markets live.


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The mean could be the long run variance which is sig2 = fit.Constant/(1-fit.GARCH{1}-fit.ARCH{1}); I hope this explains. If not, note I ran this model through Matlab, I get different values. you can paste your m1 and m2 values and some other intermediate results so I can see why Matlab differs. EDIT: The question refers to forecasting the returns. ...



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