Cancel anytime. Share this document Share or Embed Document Sharing Options Share on Facebook, opens a new window Share on Twitter, opens a new window Share on LinkedIn, opens a new window Share with Email, opens mail client Copy Text Related Interests Thermocouple Calibration Scientific Observation Electrical Engineering Manufactured Goods Skip section Trending Neverwhere: A Novel Neil Gaiman Point of Retreat: A Novel Colleen Hoover Its Not Summer Without You Jenny Han City of Ashes Cassandra Clare The Magicians Nephew C.S. Lewis Secrets of the Millionaire Mind: Mastering the Inner Game of Wealth T.Harv Eker The Great Divorce C.S. Lewis Confess: A Novel Colleen Hoover Panda Bear, Panda Bear, What Do You See Bill Martin, Jr.
Maas The Life-Changing Magic of Tidying Up: The Japanese Art of Decluttering and Organizing Marie Kondo Shoe Dog: A Memoir by the Creator of Nike Phil Knight The Subtle Art of Not Giving a Fck: A Counterintuitive Approach to Living a Good Life Mark Manson The Go-Giver: A Little Story About a Powerful Business Idea Bob Burg Big Nate: Whats a Little Noogie Between Friends Lincoln Peirce The Mist Stephen King Spy School Secret Service Stuart Gibbs Girl, Wash Your Face: Stop Believing the Lies About Who You Are so You Can Become Who You Were Meant to Be Rachel Hollis No More Mr. Nice Guy: A Proven Plan for Getting What You Want in Love, Sex and Life Robert A. Quick navigation Home Books Audiobooks Documents, active Collapse section Rate Useful 100 100 found this document useful, Mark this document as useful Not useful 0 0 found this document not useful, Mark this document as not useful Collapse section Share Share on Facebook, opens a new window Facebook Share on Twitter, opens a new window Twitter Share on LinkedIn, opens a new window LinkedIn Copy Link to clipboard Copy Link Share with Email, opens mail client Email. The main contribution of this study is to answer reliably the question above, which means we have to do a precise examination based on the robust backtesting on price time series and quantify a possible benet. To answer this question, the significant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. The results were then compared to those of an agent operating chaotically. Moreover, the existing significant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the significant cycles resulting from the Fourier analysis. It has been concluded that the Fourier analysis basically failed. In addition, momentum and level trading backtests have been used in a similar way. It has been found that the level trading does provide a certain practical value in comparison to the momentum trading method. The research also simplifies the complicated theoretical background for practitioners. Principle of Complex Period Test-checking all periods and phase angles, source: own research Principle of phase angle searching, source: own research. Results of momentum trading Bund 1 min-time period spectrogram (a), 5 min-time period spectrogram (b), source: own research Figures - uploaded by Jurgita Raudeliuniene Author content All figure content in this area was uploaded by Jurgita Raudeliuniene Content may be subject to copyright. Radix Microcal Universal Calibrator - Fast For Free Public FullDiscover the worlds research 20 million members 135 million publications 700k research projects Join for free Public Full-text 1 Content uploaded by Jurgita Raudeliuniene Author content All content in this area was uploaded by Jurgita Raudeliuniene on Nov 16, 2018 Content may be subject to copyright. Churchill Sq. 4, Prague 130 67, Czech Republic 2,3 Department of Business T echnologies, Vilnius Gediminas T echnical University, Saultekio al. V ilnius LT10223, Lithuania E-mails: 1 bohumil.stadnikemail.cz (corresponding author); 2 jurgita.raudeliunienevgtu.lt; 3 vida.davidavicienevgtu.lt Received 18 February 2016; accepted 27 April 2016 Abstract. The research addressed the relevant question whether the Fourier analysis re- ally provides practical value for investors forecasting stock market price. T o answer this question, the signicant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. Moreover, the existing signicant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the signicant cycles resulting from the Fourier analysis. The research also simplies the complicated theoretical background for practitioners. ![]() ![]() The question is whether this tool really provides certain benefit for the investors This question is still under the discussion among both financial market prac- titioners and academicians.
0 Comments
Leave a Reply. |
Details
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |