Automatic head and shoulders pattern recognition using nonlinear statistical modelling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25530%2F13%3A39896474" target="_blank" >RIV/00216275:25530/13:39896474 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Automatic head and shoulders pattern recognition using nonlinear statistical modelling
Original language description
Chart Pattern recognition is one of the keystone of Technical Analysis, discipline that concentrates all methods of market development evaluation. Graphical formations such as Head and Shoulders, Flag or Triangle are usually detected only visually by experts long after their appearance. The aim of presented contribution is introduction of new automatic algorithm for Head and Shoulders Pattern (HaSP) detection. The algorithm is based on nonlinear function approximation and statistical estimation of unknown parameters. Whole procedure is tested in Case Study consisting long time series of Dow Jones average indexes. In the end, the successfulness of different market strategies is tested by statistical analysis of percentage profit. Results show that pattern appearance does not have significant effect on prices development.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
APLIMAT 2013, 12th Conference on Applied Mathematics, Proceedings
ISBN
978-80-227-3865-1
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
"P32 "-" 11pp"
Publisher name
Slovenská technická univezita v Bratislave
Place of publication
Bratislava
Event location
Bratislava
Event date
Feb 5, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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