Credit scoring techniques application in investment decision making

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076743" target="_blank" >RIV/00216224:14560/14:00076743 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Credit scoring techniques application in investment decision making

Popis výsledku v původním jazyce

Algorithmic trading is achieving leading position in contemporary development of financial markets. Most strategies of algorithmic trading are still based on technical analysis. Basic technical analysis is following the rule that chosen strategy should be easy understandable and applicable in order to simplify investor?s decision making. This paper analyzes more sophisticated methods to combine the signals from several indicators to design investing strategy, which would be profitable in the long run. Econometrical and credit scoring methods are used to determine whether chosen indicators are relevant to the designed strategy. Explaining variables are time series of dummy variables indicating whether the indicator (exponential moving average) is suggesting submitting buy order or not. Lags of these variables are also included, so that time relations of indicators can be tested and whether indicators confirm each other.

Název v anglickém jazyce

Credit scoring techniques application in investment decision making

Popis výsledku anglicky

Algorithmic trading is achieving leading position in contemporary development of financial markets. Most strategies of algorithmic trading are still based on technical analysis. Basic technical analysis is following the rule that chosen strategy should be easy understandable and applicable in order to simplify investor?s decision making. This paper analyzes more sophisticated methods to combine the signals from several indicators to design investing strategy, which would be profitable in the long run. Econometrical and credit scoring methods are used to determine whether chosen indicators are relevant to the designed strategy. Explaining variables are time series of dummy variables indicating whether the indicator (exponential moving average) is suggesting submitting buy order or not. Lags of these variables are also included, so that time relations of indicators can be tested and whether indicators confirm each other.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

New Economic Challenges ? 5th International PhD Student Conference

ISBN

9788021071407

ISSN

—

e-ISSN

—

Počet stran výsledku

9

Strana od-do

1-9

Název nakladatele

Masarykova Univerzita

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—