Trend-cycle Estimation Using Fuzzy Transform and Its Application for Identifying of Bull and Bear Phases in Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F20%3AA2101X66" target="_blank" >RIV/61988987:17610/20:A2101X66 - isvavai.cz</a>
Result on the web
<a href="https://onlinelibrary.wiley.com/doi/full/10.1002/isaf.1473" target="_blank" >https://onlinelibrary.wiley.com/doi/full/10.1002/isaf.1473</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/isaf.1473" target="_blank" >10.1002/isaf.1473</a>
Alternative languages
Result language
angličtina
Original language name
Trend-cycle Estimation Using Fuzzy Transform and Its Application for Identifying of Bull and Bear Phases in Markets
Original language description
we first consider estimation of the trend-cycle of financial time series. Namely, under the assumption that a time series can be additively decomposed into a trend-cycle (deterministic component) and an irregular fluctuation, we prove that the former can be well estimated using the fuzzy transform of higher degree. Based on the behavior of the trend-cycle, we then suggest mathematical definitions of two fundamental market states: bull and bear phases, and provide a novel technique for their identification in given financial data. As a consequence, the turning points (i.e., the points where the market changes its phase), are detected. To illustrate our methodology, several examples are presented.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Intelligent Systems in Accounting, Finance and Management
ISSN
1055-615X
e-ISSN
1099-1174
Volume of the periodical
27
Issue of the periodical within the volume
2
Country of publishing house
GB - UNITED KINGDOM
Number of pages
14
Pages from-to
1-14
UT code for WoS article
000539632400001
EID of the result in the Scopus database
2-s2.0-85086262348