Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F14%3A43922956" target="_blank" >RIV/49777513:23510/14:43922956 - 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
Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX
Original language description
The paper brings a continuation of our research topic, which is focused on usage of Markov chains for construction of technical analysis indicators, in general. Our previous results have already confirmed an idea that definition of MC state space based upon accumulated change of underlying asset during period of local monotone trend seems to be rather promising. Here, we present three models of con-struction of technical analysis indicator, which differ each other with their state spaces being defined in accordance with the accumulated local stock exchange changes. On these models, we define different trading strategies using relatively simple issue - a selected state generates a buying signal, whereas another one gener-ates a selling one, on the contrary. Hence, we get various sequences of buying and selling signals on the MC state spaces. Profitability of such trading strategies is compared with closing-day market values of the PX stock exchange index during the period of nine years,
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
32nd International Conference Mathematical Methods in Economics MME2014, Conference Proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1003-1008
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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