Are You More Skilled than a Monkey at Trading Stocks ?

Are You More Skilled than a Monkey at Trading Stocks ?
by Marcelo Perlin


23 Nov 2006 (Updated 18 Feb 2008)

For the papers, pls see:
BURNS, P. J. (2006) "Random Portfolios for Evaluating Trading Strategies". Available at SSRN: http://ssrn.com/abstract=881735
CUMBY, E., MODEST, D. (1987) "Testing for Market Timing Ability: A Framework for Evaluation". Journal of Financial Economics 25, 169-189.
PERLIN, M. S. (2007a) "Evaluation of Pairs Trading Strategy at the Brazilian Financial Market". Available at SSRN: http://ssrn.com/abstract=952242
PERLIN, M. S. (2007b) "M of a Kind: A Multivariate Approach at Pairs Trading" . Available at SSRN: http://ssrn.com/abstract=952782

For the codes, pls see http://www.mathworks.com/matlabcentral/fileexchange/13099