Reaction trend system with GARCH quantiles as action points

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Autor(es): dc.contributormailto:jafiorucci@unb.br-
Autor(es): dc.contributormailto:geraldo.silva@unesp.br-
Autor(es): dc.contributormailto:flmbarboza@ufu.br-
Autor(es): dc.creatorFiorucci, Jose Augusto-
Autor(es): dc.creatorSilva, Geraldo Nunes-
Autor(es): dc.creatorBarboza, Flavio Luiz de Moraes-
Data de aceite: dc.date.accessioned2024-10-23T16:28:09Z-
Data de disponibilização: dc.date.available2024-10-23T16:28:09Z-
Data de envio: dc.date.issued2022-11-06-
Data de envio: dc.date.issued2022-11-06-
Data de envio: dc.date.issued2022-03-05-
Fonte completa do material: dc.identifierhttps://repositorio.unb.br/handle/10482/45128-
Fonte completa do material: dc.identifierhttps://doi.org/10.1016/j.eswa.2022.116750-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-1201-9089-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-3574-9893-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-3449-5297-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/909240-
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.-
Publicador: dc.publisherElsevier-
Relação: dc.relationhttps://www.sciencedirect.com/science/article/pii/S0957417422002172?via%3Dihub-
Direitos: dc.rightsAcesso Restrito-
Palavras-chave: dc.subjectModelo estatístico-
Palavras-chave: dc.subjectVolatilidade-
Palavras-chave: dc.subjectIntervalo de preços-
Palavras-chave: dc.subjectModelos ARCH-
Título: dc.titleReaction trend system with GARCH quantiles as action points-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional – UNB

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