theroleofjapanesecandlestickindvarmodel
文献类型：期刊论文
| 作者 | Xie Haibin2; Fan Kuikui3; Wang Shouyang1
|
| 刊名 | journalofsystemsscienceandcomplexity
 |
| 出版日期 | 2015 |
| 卷号 | 28期号:5页码:1177 |
| ISSN号 | 1009-6124 |
| 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. |
| 语种 | 英语 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/37010]  |
| 专题 | 系统科学研究所 |
| 作者单位 | 1.中国科学院数学与系统科学研究院 2.对外经济贸易大学 3.上海财经大学 |
| 推荐引用方式 GB/T 7714 | Xie Haibin,Fan Kuikui,Wang Shouyang. theroleofjapanesecandlestickindvarmodel[J]. journalofsystemsscienceandcomplexity,2015,28(5):1177. |
| APA | Xie Haibin,Fan Kuikui,&Wang Shouyang.(2015).theroleofjapanesecandlestickindvarmodel.journalofsystemsscienceandcomplexity,28(5),1177. |
| MLA | Xie Haibin,et al."theroleofjapanesecandlestickindvarmodel".journalofsystemsscienceandcomplexity 28.5(2015):1177. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。