An automated adaptive trading system for enhanced performance of emerging market portfolios by Cristiana Tudor, Robert Sova

“…Against this backdrop, we argue that capital need not exit these riskier markets during periods of turmoil and support this by developing a second-generation Automated Adaptive Trading System (AATS) back-tested on a relevant, diversified EM portfolio that tracks the Morgan Stanley Capital International (MSCI) Emerging Markets Index during a volatile period characterized by negative returns, high risk, and a high correlation with global markets for the buy-and-hold EM portfolio. The system incorporates an Autoregressive Moving Average-Generalized AutoRegressive Conditional Heteroskedasticity model that offers an interpretability advantage over machine-learning methods. …”
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