Trend-cycle Estimation Using Fuzzy Transform and Its Application for Identifying of Bull and Bear Phases in Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F20%3AA2101X66" target="_blank" >RIV/61988987:17610/20:A2101X66 - isvavai.cz</a>

Výsledek na webu

<a href="https://onlinelibrary.wiley.com/doi/full/10.1002/isaf.1473" target="_blank" >https://onlinelibrary.wiley.com/doi/full/10.1002/isaf.1473</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1002/isaf.1473" target="_blank" >10.1002/isaf.1473</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Trend-cycle Estimation Using Fuzzy Transform and Its Application for Identifying of Bull and Bear Phases in Markets

Popis výsledku v původním jazyce

we first consider estimation of the trend-cycle of financial time series. Namely, under the assumption that a time series can be additively decomposed into a trend-cycle (deterministic component) and an irregular fluctuation, we prove that the former can be well estimated using the fuzzy transform of higher degree. Based on the behavior of the trend-cycle, we then suggest mathematical definitions of two fundamental market states: bull and bear phases, and provide a novel technique for their identification in given financial data. As a consequence, the turning points (i.e., the points where the market changes its phase), are detected. To illustrate our methodology, several examples are presented.

Název v anglickém jazyce

Trend-cycle Estimation Using Fuzzy Transform and Its Application for Identifying of Bull and Bear Phases in Markets

Popis výsledku anglicky

we first consider estimation of the trend-cycle of financial time series. Namely, under the assumption that a time series can be additively decomposed into a trend-cycle (deterministic component) and an irregular fluctuation, we prove that the former can be well estimated using the fuzzy transform of higher degree. Based on the behavior of the trend-cycle, we then suggest mathematical definitions of two fundamental market states: bull and bear phases, and provide a novel technique for their identification in given financial data. As a consequence, the turning points (i.e., the points where the market changes its phase), are detected. To illustrate our methodology, several examples are presented.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10102 - Applied mathematics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Intelligent Systems in Accounting, Finance and Management

ISSN

1055-615X

e-ISSN

1099-1174

Svazek periodika

27

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

14

Strana od-do

1-14

Kód UT WoS článku

000539632400001

EID výsledku v databázi Scopus

2-s2.0-85086262348