Volatility Characteristics of Tertiary Trend on the Czech Stock Market Applicable in Technical Analysis
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F16%3A43930226" target="_blank" >RIV/49777513:23510/16:43930226 - 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
Volatility Characteristics of Tertiary Trend on the Czech Stock Market Applicable in Technical Analysis
Popis výsledku v původním jazyce
The paper examines the tertiary trend in the development of share prices. Its aim is to characterize the behaviour of tertiary trend based on volatility of share prices, which can be appropriately used to generate "buy and sell" signals and thus to beat the passive strategy of Buy and Hold. The research has monitored several characteristics of volatility of tertiary trend which characterize the trend and indicate that after several days of growth or decline in share prices the trend will change. The main characteristic is the length of the trend; as another characteristic is used accumulated change, i.e. profit or loss and their adjustment - standardized overall or moving standard deviation. In addition to these characteristics, we also marginally examine the impact of monthly anomalies on the movement of share prices. The results of analysis will be used to make decisions on buy and sell signals. Applicability of these characteristics was verified on the shares of 5 companies traded on the stock exchange, namely CEZ, O2, KB, Pegas, and Philip Morris. Data on their daily closing prices from 2006 (with the exception of Pegas whose trading on the stock exchange began in 2008) to 2015 were used for the analysis. They show that the best length of trend for generating buy and sell signals is from 2 to 5 days. For the characteristic of accumulated change, the change between 2% and 6% can be regarded as the best. If we use the standardized accumulated change, buy and sell signals may be generated up to 3 or 4 times (for the moving standard deviation) of standard deviation. We expect that trading based on these signals surpasses the passive strategy of Buy and Hold.
Název v anglickém jazyce
Volatility Characteristics of Tertiary Trend on the Czech Stock Market Applicable in Technical Analysis
Popis výsledku anglicky
The paper examines the tertiary trend in the development of share prices. Its aim is to characterize the behaviour of tertiary trend based on volatility of share prices, which can be appropriately used to generate "buy and sell" signals and thus to beat the passive strategy of Buy and Hold. The research has monitored several characteristics of volatility of tertiary trend which characterize the trend and indicate that after several days of growth or decline in share prices the trend will change. The main characteristic is the length of the trend; as another characteristic is used accumulated change, i.e. profit or loss and their adjustment - standardized overall or moving standard deviation. In addition to these characteristics, we also marginally examine the impact of monthly anomalies on the movement of share prices. The results of analysis will be used to make decisions on buy and sell signals. Applicability of these characteristics was verified on the shares of 5 companies traded on the stock exchange, namely CEZ, O2, KB, Pegas, and Philip Morris. Data on their daily closing prices from 2006 (with the exception of Pegas whose trading on the stock exchange began in 2008) to 2015 were used for the analysis. They show that the best length of trend for generating buy and sell signals is from 2 to 5 days. For the characteristic of accumulated change, the change between 2% and 6% can be regarded as the best. If we use the standardized accumulated change, buy and sell signals may be generated up to 3 or 4 times (for the moving standard deviation) of standard deviation. We expect that trading based on these signals surpasses the passive strategy of Buy and Hold.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
BB - Aplikovaná statistika, operační výzkum
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
Innovation Management, Development Sustainability, and Competitive Economic Growth
ISBN
978-0-9860419-8-3
ISSN
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e-ISSN
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Počet stran výsledku
9
Strana od-do
2869-2877
Název nakladatele
International Business Information Management Association
Místo vydání
Norristown
Místo konání akce
Seville, Spain
Datum konání akce
9. 11. 2016
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
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