About: Automatic head and shoulders pattern recognition using nonlinear statistical modelling     Goto   Sponge   NotDistinct   Permalink

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Description
  • Chart Pattern recognition is one of the keystone of Technical Analysis, discipline that concentrates all methods of market development evaluation. Graphical formations such as Head and Shoulders, Flag or Triangle are usually detected only visually by experts long after their appearance. The aim of presented contribution is introduction of new automatic algorithm for Head and Shoulders Pattern (HaSP) detection. The algorithm is based on nonlinear function approximation and statistical estimation of unknown parameters. Whole procedure is tested in Case Study consisting long time series of Dow Jones average indexes. In the end, the successfulness of different market strategies is tested by statistical analysis of percentage profit. Results show that pattern appearance does not have significant effect on prices development.
  • Chart Pattern recognition is one of the keystone of Technical Analysis, discipline that concentrates all methods of market development evaluation. Graphical formations such as Head and Shoulders, Flag or Triangle are usually detected only visually by experts long after their appearance. The aim of presented contribution is introduction of new automatic algorithm for Head and Shoulders Pattern (HaSP) detection. The algorithm is based on nonlinear function approximation and statistical estimation of unknown parameters. Whole procedure is tested in Case Study consisting long time series of Dow Jones average indexes. In the end, the successfulness of different market strategies is tested by statistical analysis of percentage profit. Results show that pattern appearance does not have significant effect on prices development. (en)
Title
  • Automatic head and shoulders pattern recognition using nonlinear statistical modelling
  • Automatic head and shoulders pattern recognition using nonlinear statistical modelling (en)
skos:prefLabel
  • Automatic head and shoulders pattern recognition using nonlinear statistical modelling
  • Automatic head and shoulders pattern recognition using nonlinear statistical modelling (en)
skos:notation
  • RIV/00216275:25530/13:39896474!RIV14-MSM-25530___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 62610
http://linked.open...ai/riv/idVysledku
  • RIV/00216275:25530/13:39896474
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Technical analysis, Chart patterns, Market Strategies, Nonlinear approximation, Regression model, Linearization, Index of determination. (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [B06E0929E11B]
http://linked.open...v/mistoKonaniAkce
  • Bratislava
http://linked.open...i/riv/mistoVydani
  • Bratislava
http://linked.open...i/riv/nazevZdroje
  • APLIMAT 2013, 12th Conference on Applied Mathematics, Proceedings
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Heckenbergerová, Jana
  • Marek, Jaroslav
  • Mejznar, Jakub
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Slovenská technická univerzita v Bratislave
https://schema.org/isbn
  • 978-80-227-3865-1
http://localhost/t...ganizacniJednotka
  • 25530
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