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

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MetadadosDescriçãoIdioma
Autor(es): dc.contributor70910–900-
Autor(es): dc.contributorUniversidade Estadual Paulista (UNESP)-
Autor(es): dc.contributorUniversidade Federal de Uberlândia (UFU)-
Autor(es): dc.creatorFiorucci, Jose Augusto-
Autor(es): dc.creatorSilva, Geraldo Nunes-
Autor(es): dc.creatorBarboza, Flavio-
Data de aceite: dc.date.accessioned2025-08-21T23:14:54Z-
Data de disponibilização: dc.date.available2025-08-21T23:14:54Z-
Data de envio: dc.date.issued2022-05-01-
Data de envio: dc.date.issued2022-05-01-
Data de envio: dc.date.issued2022-07-15-
Fonte completa do material: dc.identifierhttp://dx.doi.org/10.1016/j.eswa.2022.116750-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/11449/234290-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/11449/234290-
Descrição: dc.descriptionMost 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.-
Descrição: dc.descriptionFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)-
Descrição: dc.descriptionConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)-
Descrição: dc.descriptionUniversity of Brasília (UnB) Department of Statistics Campus Darcy Ribeiro Brasília–DF 70910–900-
Descrição: dc.descriptionSão Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000-
Descrição: dc.descriptionFederal University of Uberlândia (UFU) School of Business and Management Uberlândia–MG 38400–902-
Descrição: dc.descriptionSão Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000-
Descrição: dc.descriptionFAPESP: 2013/07375-0-
Descrição: dc.descriptionFAPESP: 2016/10431-7-
Descrição: dc.descriptionCNPq: 435173/2018-9-
Idioma: dc.languageen-
Relação: dc.relationExpert Systems with Applications-
???dc.source???: dc.sourceScopus-
Palavras-chave: dc.subjectprediction of price intervals-
Palavras-chave: dc.subjectStatistical volatility model-
Palavras-chave: dc.subjectTechnical analysis-
Palavras-chave: dc.subjectWilder's trading strategies-
Título: dc.titleReaction trend system with GARCH quantiles as action points[Formula presented]-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional - Unesp

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