Using Change-Point-Detection Approaches in Stock Market Technical Trading
| Autor: | Chao-Yang Cheng, 鄭朝陽 |
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| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 This study holds that the transaction strategies under technical analysis currently used by common investors and researchers, no matter how different their technical indicators, all have the same final purpose, namely, finding the shock price’s changing point for the trading point. However, among the various kinds of technical indicators and transaction strategies created, through partial definitions sourced from the area of statistics, the statistical method for finding the change point directly applied to the stock market is still wanting. Therefore, this study aims to introduce Change-Point-Detection in the quality management method and the Chow-test related to regression analysis into technical analysis to develop a transaction strategy, and uses statistical software R to develop relevant R package for data analysis. This study then compares the newly established technical indicators with Moving Average, RSI, MACD and Stochastic Oscillator. The empirical results show that the average rate of return of the transaction strategy pointed out by this study has an advantage over the other indicators of the eleven stocks being analyzed, showing that the indicator developed by this study is a competitive technical analysis method. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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