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Quantitative Investing: Strategies to exploit stock market anomalies for all investors by Fred Piard

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Chapter 2: Market Timing

The word market designates the systems, structures, institutions and procedures that allow buyers and sellers to exchange liquid assets. It may apply at different levels from a class of assets (stocks, bonds, commodities, currencies) or a class of instruments (futures, options) to an individual asset (particular stock, metal, currency pair, etc...). A bull market is a market where prices are trending up, a bear market is a market where they are trending down. Market timing is the science or art to detect with a reasonable probability when a market is turning from bullish to bearish, or the reverse.

This chapter explores various strategies based on simple timing rules, applying them to diversified stock indexes, then ...

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