Theoretical and practical motivations for the use of the moving average rule in the stock market

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245353" target="_blank" >RIV/61989100:27510/20:10245353 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.scopus.com/record/display.uri?eid=2-s2.0-85079225739&origin=resultslist&sort=plf-f&src=s&st1=tichy%2c+t&st2=&sid=ae28ceb80f2fa196dac98015bd0ae64a&sot=b&sdt=b&sl=21&s=AUTHOR-NAME%28tichy%2c+t%29&relpos=14&citeCnt=1&searchTerm=" target="_blank" >https://www.scopus.com/record/display.uri?eid=2-s2.0-85079225739&origin=resultslist&sort=plf-f&src=s&st1=tichy%2c+t&st2=&sid=ae28ceb80f2fa196dac98015bd0ae64a&sot=b&sdt=b&sl=21&s=AUTHOR-NAME%28tichy%2c+t%29&relpos=14&citeCnt=1&searchTerm=</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1093/Imaman/dpz006" target="_blank" >10.1093/Imaman/dpz006</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Theoretical and practical motivations for the use of the moving average rule in the stock market

Popis výsledku v původním jazyce

This paper provides some theoretical foundations for using moving average (MA) rules in the stock market. in particular, the paper analyzes the conditional probability of price increments and examines how this probability varies over time. We prove under certain assumptions that the probability of being in an uptrend is greater than the probability of being in a downtrend. This demonstration partially justifies the common use of MA rules in the stock market. Finally, we propose an ex-post empirical analysis to evaluate and compare the performance of some MA rules and other portfolio strategies in the US stock market. in this context, we also suggest a methodology that incorporates these trading rules as alarm rules to predict potential market failures. Our ex-post results confirm the advantages of using these trading rules to predict market trends and crises. (C) 2019 The Author(s).

Název v anglickém jazyce

Theoretical and practical motivations for the use of the moving average rule in the stock market

Popis výsledku anglicky

This paper provides some theoretical foundations for using moving average (MA) rules in the stock market. in particular, the paper analyzes the conditional probability of price increments and examines how this probability varies over time. We prove under certain assumptions that the probability of being in an uptrend is greater than the probability of being in a downtrend. This demonstration partially justifies the common use of MA rules in the stock market. Finally, we propose an ex-post empirical analysis to evaluate and compare the performance of some MA rules and other portfolio strategies in the US stock market. in this context, we also suggest a methodology that incorporates these trading rules as alarm rules to predict potential market failures. Our ex-post results confirm the advantages of using these trading rules to predict market trends and crises. (C) 2019 The Author(s).

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

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

IMA Journal of Management Mathematics

ISSN

1471-678X

e-ISSN

—

Svazek periodika

31

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

22

Strana od-do

117-138

Kód UT WoS článku

000526293800007

EID výsledku v databázi Scopus

2-s2.0-85079225739