Ministerio de Tecnologías y las Comunicaciones (MinTIC)
Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules
... Technical trading rules were employed on the UK oil and gas stocks to see the possibility of making returns higher than that from buy and hold ...the trading rule cannot provide sufficient profit to ...
65
A cointegrating stock trading strategy: application to listed tanker shipping companies
... long-short trading strategy on the basis of a cointegration model and a simple moving average rule, which appears to outperform the classic buy-and-hold approach across various investment ...
216
Forex trading decision making using rule-based expert system with Bollinger band and moving average indicators
... Despite this system have limitation on its how trader trade by using the indicator that have suggested in early discussion, but if trader have a good discipline and good emotional control by following the rule, ...
158
Moving Average Trading Rules: Are They Trending Following Devices? Evidence from the Vietnamese Stock Market
... In the full sample, whereas the three long-term rules: (1,200), the (2,200) and the (5,200) are statistically insignificant, the three short-term rules: (1,10), (1,20) and (1,50) have significant profitability, at 5% ...
11
Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market
... using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity ...additional trading rules such as entry rule, exit ...
14
Understanding the nature of oil fluctuations using 1 neutral network moving average: A study on the returns of crude oil futures
... moving average rules could capture information ignored by their linear counterparts (Lee, Mather, ...popular moving average rule is the 1-200 rule, of which the short period is ...
7
ARIMA-M: A New Model for Daily Water Consumption Prediction, Based on the Autoregressive Integrated Moving Average Model and the Markov Chain Error Correction
... integrated moving average) is a combination of autoregressive and moving average models and the prediction value is determined through the analysis of time series stability and pattern ...p, ...
108
Overconfidence and bubbles in experimental asset markets
... the trading period was over, participants were shown market summary information from the past trading periods, and were asked to predict the average market price for the next period as well as to ...
62
Comparative Study on Forecasting Accuracy among Moving Average Models with Simulation and PALTEL Stock Market Data in Palestine
... k-th moving average, (ii) k-th weighted moving average, and (iii) k-th exponential weighted moving average ...Weighted Moving Average based on Autoregressive ...
9
Overconfidence and bubbles in experimental asset markets
... Figure 4: Average trading activity turnover in both types of markets Trading activity in low overconfidence markets is lower than in high overconfidence ones: average market turnover in [r] ...
16
An Autoregressive Integrated Moving Average Models For Process Output And Forecasting
... Several Researches had been carried out involving the use of autoregressive integrated moving average. Among these is in Epidemiology, Allard. (1998) worked on the uses of time series analysis in ...
14
A Bayesian nonlinearity test for threshold moving average models
... Abstract. We propose a Bayesian test for nonlinearity of threshold moving aver- age (TMA) models. First of all, we obtain the marginal posterior densities of all parameters, including the threshold and delay, of ...
6
On uniqueness of moving average representations of heavy tailed stationary processes
... several moving average representations, non- Gaussian linear processes have been shown to admit an essentially unique MA representation, under different regularity conditions on the MA coefficients and the ...
176
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA)
... Volatility is an important parameter for financial risk management and it is applied in many is- sues such as option pricing, portfolio optimization, VaR methodology and hedging; thus the fore- casting of volatility or ...
61
Effect of Sample Size on the Control Limits of Exponentially Weighted Moving Average Distance Square Scheme
... Abstract In the series of quality monitoring schemes with exponentially weighted moving average, the exponentially weighted moving average distance square scheme was introduced for joint[r] ...
55
Study & Development of Short Term Load Forecasting Models Using Stochastic Time Series Analysis
... Autoregressive Moving Average (ARMA) and Autoregressive Integrated Moving Average (ARIMA) models can be developed using time series approach for short term load forecasting on first six months ...
14
Stationary Time Series in Pricing
... are the polynomials of the shift operator. In this case, will be called an integrated process of autoregression and a moving average, or ARIMA (p, d, q). This model allows building highly accurate ...
150
Custodial Requirements for Customer Funds
... Madoff was able to attract billions of dollars in investor funds through claims of high returns from his so-called “split-strike conversion strategy.” 256 In reality, there was no such strategy. Madoff failed to ...
21
Censored time series analysis with autoregressive moving average models
... Observations collected over time or space are often autocorrelated rather than independent. Time series data analysis deals with temporally collected observations by modeling their autocorrelations. Autoregressive ...
5
An Application of Moving Average Convergence and Divergence (MACD) Indicator on Selected Stocks Listed on Bombay Stock Exchange (BSE)
... There are three main types of oscillators – APO (absolute price oscillator) and PPO (percentage price oscillator) and DPO (detrended price oscillator). MACD falls in the first category as it deals with actual prices of ...
16