Analysis of moving average rules applicability in Czech stock market

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094571" target="_blank" >RIV/61989100:27510/15:86094571 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.sciencedirect.com/science/article/pii/S2212567115013039" target="_blank" >http://www.sciencedirect.com/science/article/pii/S2212567115013039</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/S2212-5671(15)01303-9" target="_blank" >10.1016/S2212-5671(15)01303-9</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Analysis of moving average rules applicability in Czech stock market

Popis výsledku v původním jazyce

Contemporary state of the art of financial time series modelling is connected to the Efficient Market Hypothesis according to which "prices fully reflect all available information" and hence future evolutions are unforecastable. In simple terms, EMH states that by predicting the future development we are not able to achieve the profits superior to the profits of the market index when these are adjusted for the risk and transactions costs are deducted. On the other hand, there exist works providing evidences that markets are not efficient. In these works, however, the strategies (or technical trading rules) are demonstrated to provide the extra performance in short term only and then the extra performance vanishes. In the paper we apply moving averagesin order to define automated trading system and then analyze its profitability in Czech stock market. The results are statistically tested and statistical inference about the applicability of such an automated trading system in Czech stoc

Název v anglickém jazyce

Analysis of moving average rules applicability in Czech stock market

Popis výsledku anglicky

Contemporary state of the art of financial time series modelling is connected to the Efficient Market Hypothesis according to which "prices fully reflect all available information" and hence future evolutions are unforecastable. In simple terms, EMH states that by predicting the future development we are not able to achieve the profits superior to the profits of the market index when these are adjusted for the risk and transactions costs are deducted. On the other hand, there exist works providing evidences that markets are not efficient. In these works, however, the strategies (or technical trading rules) are demonstrated to provide the extra performance in short term only and then the extra performance vanishes. In the paper we apply moving averagesin order to define automated trading system and then analyze its profitability in Czech stock market. The results are statistically tested and statistical inference about the applicability of such an automated trading system in Czech stoc

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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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)

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Procedia Economics and Finance. Volume 30

ISBN

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ISSN

2212-5671

e-ISSN

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Počet stran výsledku

8

Strana od-do

364-371

Název nakladatele

Elsevier

Místo vydání

London

Místo konání akce

Londýn

Datum konání akce

25. 8. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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