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| rdf:type
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| Description
| - The paper brings a continuation of our research topic, which is focused on usage of Markov chains for construction of technical analysis indicators, in general. Our previous results have already confirmed an idea that definition of MC state space based upon accumulated change of underlying asset during period of local monotone trend seems to be rather promising. Here, we present three models of con-struction of technical analysis indicator, which differ each other with their state spaces being defined in accordance with the accumulated local stock exchange changes. On these models, we define different trading strategies using relatively simple issue - a selected state generates a buying signal, whereas another one gener-ates a selling one, on the contrary. Hence, we get various sequences of buying and selling signals on the MC state spaces. Profitability of such trading strategies is compared with closing-day market values of the PX stock exchange index during the period of nine years, from 2004Q1 till 2012Q4, in particular. Comparing calculated yields following our selected trading strategies with actual PX index values enables us to detect their performances. Except accumulated yields during whole period of nine years we are interested in current changes of invested capital, too, and we see that in some cases we yet outperformed the PX index.
- The paper brings a continuation of our research topic, which is focused on usage of Markov chains for construction of technical analysis indicators, in general. Our previous results have already confirmed an idea that definition of MC state space based upon accumulated change of underlying asset during period of local monotone trend seems to be rather promising. Here, we present three models of con-struction of technical analysis indicator, which differ each other with their state spaces being defined in accordance with the accumulated local stock exchange changes. On these models, we define different trading strategies using relatively simple issue - a selected state generates a buying signal, whereas another one gener-ates a selling one, on the contrary. Hence, we get various sequences of buying and selling signals on the MC state spaces. Profitability of such trading strategies is compared with closing-day market values of the PX stock exchange index during the period of nine years, from 2004Q1 till 2012Q4, in particular. Comparing calculated yields following our selected trading strategies with actual PX index values enables us to detect their performances. Except accumulated yields during whole period of nine years we are interested in current changes of invested capital, too, and we see that in some cases we yet outperformed the PX index. (en)
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| Title
| - Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX
- Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX (en)
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| skos:prefLabel
| - Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX
- Possibilities of using Markov chains for construction of technical analysis indicators of stock exchange index PX (en)
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| skos:notation
| - RIV/49777513:23510/14:43922956!RIV15-MSM-23510___
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/49777513:23510/14:43922956
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - trading strategies; technical analysis indicators; stock exchange index; transition probability matrix; Markov chain analysis (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
| - 32nd International Conference Mathematical Methods in Economics MME2014, Conference Proceedings
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| http://linked.open...in/vavai/riv/obor
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| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
| - Svoboda, Milan
- Lukáš, Ladislav
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open.../riv/zahajeniAkce
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| number of pages
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| http://purl.org/ne...btex#hasPublisher
| - Univerzita Palackého v Olomouci
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| https://schema.org/isbn
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| http://localhost/t...ganizacniJednotka
| |
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