Lam Tau Hing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 60-64). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Trading Strategies --- p.6 / Chapter 2.1. --- SETAR Model --- p.6 / Chapter 2.2. --- AR Model --- p.8 / Chapter 2.3. --- Moving Average --- p.9 / Chapter Chapter 3. --- Data and Methodology --- p.11 / Chapter Chapter 4. --- Empirical Results --- p.16 / Chapter Chapter 5. --- Bootstrap Analysis --- p.25 / Chapter 5.1. --- Random-Walk Model --- p.28 / Chapter 5.2. --- GARCH-M Model --- p.30 / Chapter Chapter 6. --- Combined Strategy --- p.33 / Chapter Chapter 7. --- Conclusion --- p.34 / Tables --- p.36 / References --- p.60