The role of Japanese Candlestick in DVAR model
文献类型：期刊论文
| 作者 | Xie Haibin1; Fan Kuikui2; Wang Shouyang3
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2015-10-01 |
| 卷号 | 28期号:5页码:1177-1193 |
| 关键词 | Chinese stock market Japanese candlestick stock market forecast technical analysis |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-014-2201-2 |
| 英文摘要 | The decomposition-based vector autoregressive model (DVAR) provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relationships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the information contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts. |
| 资助项目 | National Natural Science Foundation of China[71401033] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000358602600012 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/20429]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Xie Haibin |
| 作者单位 | 1.Univ Int Business & Econ, Res Ctr Appl Finance, Beijing 100029, Peoples R China 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xie Haibin,Fan Kuikui,Wang Shouyang. The role of Japanese Candlestick in DVAR model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2015,28(5):1177-1193. |
| APA | Xie Haibin,Fan Kuikui,&Wang Shouyang.(2015).The role of Japanese Candlestick in DVAR model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,28(5),1177-1193. |
| MLA | Xie Haibin,et al."The role of Japanese Candlestick in DVAR model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 28.5(2015):1177-1193. |
入库方式： OAI收割
来源：数学与系统科学研究院
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