Analysis of moving average rules applicability in Czech stock market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094571" target="_blank" >RIV/61989100:27510/15:86094571 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S2212567115013039" target="_blank" >http://www.sciencedirect.com/science/article/pii/S2212567115013039</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/S2212-5671(15)01303-9" target="_blank" >10.1016/S2212-5671(15)01303-9</a>
Alternative languages
Result language
angličtina
Original language name
Analysis of moving average rules applicability in Czech stock market
Original language description
Contemporary state of the art of financial time series modelling is connected to the Efficient Market Hypothesis according to which "prices fully reflect all available information" and hence future evolutions are unforecastable. In simple terms, EMH states that by predicting the future development we are not able to achieve the profits superior to the profits of the market index when these are adjusted for the risk and transactions costs are deducted. On the other hand, there exist works providing evidences that markets are not efficient. In these works, however, the strategies (or technical trading rules) are demonstrated to provide the extra performance in short term only and then the extra performance vanishes. In the paper we apply moving averagesin order to define automated trading system and then analyze its profitability in Czech stock market. The results are statistically tested and statistical inference about the applicability of such an automated trading system in Czech stoc
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
—
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)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Procedia Economics and Finance. Volume 30
ISBN
—
ISSN
2212-5671
e-ISSN
—
Number of pages
8
Pages from-to
364-371
Publisher name
Elsevier
Place of publication
London
Event location
Londýn
Event date
Aug 25, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—