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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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,

Název v anglickém jazyce

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

Popis výsledku anglicky

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,

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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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

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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Počet stran výsledku

6

Strana od-do

1003-1008

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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