2017 - 20th Annual Steven Galovich Memorial Student Symposium

Presentation Title

U.S. Presidential Election Algorithmic Trading

Location

Skybox

Abstract

The world of high finance is evolving at a faster pace than ever before, with the advancement of high frequency, and algorithmic trading being a major component of global financial markets. The aim of this project is to formulate and back-test our own algorithm based on a developed investment strategy. Our strategy itself is based on the idea that markets are inefficient. We implement an event-based strategy, trading only during times of presidential elections in the United States. The strategy itself, uses a mean reversion technique, that is implemented by technical analysis using long and short term price moving averages to exploit market inefficiency. Fundamental analysis was used to determine a buy-sell signal derived specifically by the financial services sector PE ratio average. Our presentation explores our investment philosophy, strategy, and back-testing results to see whether such a strategy can provide an investor with positive excess returns.

Presentation Type

Group Talk

Start Date

4-11-2017 2:30 PM

End Date

4-11-2017 3:45 PM

Panel

Empirical Modeling in Finance and Statistics

Panel Moderator

Carolyn Tuttle

Field of Study for Presentation

Business

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Apr 11th, 2:30 PM Apr 11th, 3:45 PM

U.S. Presidential Election Algorithmic Trading

Skybox

The world of high finance is evolving at a faster pace than ever before, with the advancement of high frequency, and algorithmic trading being a major component of global financial markets. The aim of this project is to formulate and back-test our own algorithm based on a developed investment strategy. Our strategy itself is based on the idea that markets are inefficient. We implement an event-based strategy, trading only during times of presidential elections in the United States. The strategy itself, uses a mean reversion technique, that is implemented by technical analysis using long and short term price moving averages to exploit market inefficiency. Fundamental analysis was used to determine a buy-sell signal derived specifically by the financial services sector PE ratio average. Our presentation explores our investment philosophy, strategy, and back-testing results to see whether such a strategy can provide an investor with positive excess returns.