کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102925 | 1480102 | 2017 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy
ترجمه فارسی عنوان
اندازه گیری نوسانات با تغییر جهت در بازار سهام چین: استراتژی اموال و سرمایه گذاری
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کلمات کلیدی
زمان ذاتی، تغییر مسیر اموال آماری، استراتژی بازرگانی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
The stock price fluctuation is studied in this paper with intrinsic time perspective. The event, directional change (DC) or overshoot, are considered as time scale of price time series. With this directional change law, its corresponding statistical properties and parameter estimation is tested in Chinese stock market. Furthermore, a directional change trading strategy is proposed for invest in the market portfolio in Chinese stock market, and both in-sample and out-of-sample performance are compared among the different method of model parameter estimation. We conclude that DC method can capture important fluctuations in Chinese stock market and gain profit due to the statistical property that average upturn overshoot size is bigger than average downturn directional change size. The optimal parameter of DC method is not fixed and we obtained 1.8% annual excess return with this DC-based trading strategy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 471, 1 April 2017, Pages 169-180
Journal: Physica A: Statistical Mechanics and its Applications - Volume 471, 1 April 2017, Pages 169-180
نویسندگان
Junjun Ma, Xiong Xiong, Feng He, Wei Zhang,