Reaction trend system with GARCH quantiles as action points[Formula presented]

Detalhes bibliográficos
Autor(a) principal: Fiorucci, Jose Augusto
Data de Publicação: 2022
Outros Autores: Silva, Geraldo Nunes [UNESP], Barboza, Flavio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://dx.doi.org/10.1016/j.eswa.2022.116750
http://hdl.handle.net/11449/234290
Resumo: Most trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.
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spelling Reaction trend system with GARCH quantiles as action points[Formula presented]prediction of price intervalsStatistical volatility modelTechnical analysisWilder's trading strategiesMost trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)University of Brasília (UnB) Department of Statistics Campus Darcy Ribeiro Brasília–DF 70910–900São Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000Federal University of Uberlândia (UFU) School of Business and Management Uberlândia–MG 38400–902São Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000FAPESP: 2013/07375-0FAPESP: 2016/10431-7CNPq: 435173/2018-970910–900Universidade Estadual Paulista (UNESP)Universidade Federal de Uberlândia (UFU)Fiorucci, Jose AugustoSilva, Geraldo Nunes [UNESP]Barboza, Flavio2022-05-01T15:46:14Z2022-05-01T15:46:14Z2022-07-15info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://dx.doi.org/10.1016/j.eswa.2022.116750Expert Systems with Applications, v. 198.0957-4174http://hdl.handle.net/11449/23429010.1016/j.eswa.2022.1167502-s2.0-85126678885Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengExpert Systems with Applicationsinfo:eu-repo/semantics/openAccess2022-05-01T15:46:14Zoai:repositorio.unesp.br:11449/234290Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462022-05-01T15:46:14Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Reaction trend system with GARCH quantiles as action points[Formula presented]
title Reaction trend system with GARCH quantiles as action points[Formula presented]
spellingShingle Reaction trend system with GARCH quantiles as action points[Formula presented]
Fiorucci, Jose Augusto
prediction of price intervals
Statistical volatility model
Technical analysis
Wilder's trading strategies
title_short Reaction trend system with GARCH quantiles as action points[Formula presented]
title_full Reaction trend system with GARCH quantiles as action points[Formula presented]
title_fullStr Reaction trend system with GARCH quantiles as action points[Formula presented]
title_full_unstemmed Reaction trend system with GARCH quantiles as action points[Formula presented]
title_sort Reaction trend system with GARCH quantiles as action points[Formula presented]
author Fiorucci, Jose Augusto
author_facet Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
author_role author
author2 Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
author2_role author
author
dc.contributor.none.fl_str_mv 70910–900
Universidade Estadual Paulista (UNESP)
Universidade Federal de Uberlândia (UFU)
dc.contributor.author.fl_str_mv Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
dc.subject.por.fl_str_mv prediction of price intervals
Statistical volatility model
Technical analysis
Wilder's trading strategies
topic prediction of price intervals
Statistical volatility model
Technical analysis
Wilder's trading strategies
description Most trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.
publishDate 2022
dc.date.none.fl_str_mv 2022-05-01T15:46:14Z
2022-05-01T15:46:14Z
2022-07-15
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://dx.doi.org/10.1016/j.eswa.2022.116750
Expert Systems with Applications, v. 198.
0957-4174
http://hdl.handle.net/11449/234290
10.1016/j.eswa.2022.116750
2-s2.0-85126678885
url http://dx.doi.org/10.1016/j.eswa.2022.116750
http://hdl.handle.net/11449/234290
identifier_str_mv Expert Systems with Applications, v. 198.
0957-4174
10.1016/j.eswa.2022.116750
2-s2.0-85126678885
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Expert Systems with Applications
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv Scopus
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
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