STOCHASTIC MODEL OF SHORT-TIME PRICE DEVELOPMENT OF SHARES AND ITS PROFITABILITY IN ALGORITHMIC TRADING
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F16%3A43928785" target="_blank" >RIV/49777513:23510/16:43928785 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
STOCHASTIC MODEL OF SHORT-TIME PRICE DEVELOPMENT OF SHARES AND ITS PROFITABILITY IN ALGORITHMIC TRADING
Popis výsledku v původním jazyce
The aim of this study is to verify the profitability of speculative algorithmic trading systems. The study was performed on historical daily prices (open and close) of the CEZ shares in a ten years period from the beginning of 2006 to the end of 2015. The profitability of algorithmic trading systems is compared to the passive 'Buy and Hold' strategy. In the study we present three trading systems, the basic one and two its modifications. The systems use business strategies based on assumptions of Technical Analysis (TA). TA assumes that stock prices move in three types of trends: primary, secondary and minor. The subject of our interest is the minor trend which usually lasts for several days. During the duration of this trend the share price accumulates a gain or loss in relation to the price at the beginning of the trend. We further assume that the probability of reversing this trend increases with accumulated loss or gain. For modelling the probability of trend reversal, we use the theory of Markov chains. States in which there is a high probability of a change in the trend are suitable for generating trading orders. The results of this study show that algorithmic trading systems employing this strategy are able to outperform the market.
Název v anglickém jazyce
STOCHASTIC MODEL OF SHORT-TIME PRICE DEVELOPMENT OF SHARES AND ITS PROFITABILITY IN ALGORITHMIC TRADING
Popis výsledku anglicky
The aim of this study is to verify the profitability of speculative algorithmic trading systems. The study was performed on historical daily prices (open and close) of the CEZ shares in a ten years period from the beginning of 2006 to the end of 2015. The profitability of algorithmic trading systems is compared to the passive 'Buy and Hold' strategy. In the study we present three trading systems, the basic one and two its modifications. The systems use business strategies based on assumptions of Technical Analysis (TA). TA assumes that stock prices move in three types of trends: primary, secondary and minor. The subject of our interest is the minor trend which usually lasts for several days. During the duration of this trend the share price accumulates a gain or loss in relation to the price at the beginning of the trend. We further assume that the probability of reversing this trend increases with accumulated loss or gain. For modelling the probability of trend reversal, we use the theory of Markov chains. States in which there is a high probability of a change in the trend are suitable for generating trading orders. The results of this study show that algorithmic trading systems employing this strategy are able to outperform the market.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
IN - Informatika
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2016
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Quantitative Methods in Economics / Multiple Criteria Decision Making XVIII
ISBN
978-80-972328-0-1
ISSN
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e-ISSN
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Počet stran výsledku
7
Strana od-do
362-368
Název nakladatele
Letra Interactive, s.r.o.
Místo vydání
Bratislava
Místo konání akce
Vrátna, Slovakia
Datum konání akce
25. 5. 2016
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
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