Implementation of logistic regression into technical analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069574" target="_blank" >RIV/00216224:14560/13:00069574 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Implementation of logistic regression into technical analysis

Popis výsledku v původním jazyce

Most of the investment strategies based on technical analysis are based on the principle that your strategy should be as easy as it is possible; in order to simplify your decision making. Goal of this paper is to use more sophisticated methods to combinethe signals from indicators of technical analysis to create advanced form of investing strategy, which will be sustainable in long run. This can be ensured by self-correcting mechanisms build-in the strategy itself. Econometrical methods will be used todetermine whether some kind of indicator has it relevance on the chosen type of asset. All input variables will be time series of dummy variables showing whether the indicator is suggesting taking a long position or not and of course their lags. Explained variable will be the successful trade (the price movement upwards is greater then spread and commissions). For this kind of purposes logistic regression seems to be essential, which is widely used in credit scoring.

Název v anglickém jazyce

Implementation of logistic regression into technical analysis

Popis výsledku anglicky

Most of the investment strategies based on technical analysis are based on the principle that your strategy should be as easy as it is possible; in order to simplify your decision making. Goal of this paper is to use more sophisticated methods to combinethe signals from indicators of technical analysis to create advanced form of investing strategy, which will be sustainable in long run. This can be ensured by self-correcting mechanisms build-in the strategy itself. Econometrical methods will be used todetermine whether some kind of indicator has it relevance on the chosen type of asset. All input variables will be time series of dummy variables showing whether the indicator is suggesting taking a long position or not and of course their lags. Explained variable will be the successful trade (the price movement upwards is greater then spread and commissions). For this kind of purposes logistic regression seems to be essential, which is widely used in credit scoring.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 31st International Conference Mathematical Methods in Economics 2013

ISBN

9788087035764

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

297-302

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—