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Tytuł:
INVESTMENT RISK MANAGEMENT BASED ON QUOTATIONS OF OIL COMPANIES, OIL AND DOLLAR
ZARZĄDZANIE RYZYKIEM INWESTYCYJNYM NA PODSTAWIE NOTOWAŃ SPÓŁEK PALIWOWYCH, ROPY I DOLARA
Autorzy:
Faliński, Przemysław
Powiązania:
https://bibliotekanauki.pl/articles/1818277.pdf
Data publikacji:
2021-01-27
Wydawca:
Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
Tematy:
chaos theory
technical analysis
rescaled range analysis
Opis:
With the non-random movement of the prices of exchange trading objects in mind, by means of the methods and tools of chaos theory, it is possible to show that price changes are subject to the laws of deterministic chaos. This is a new look at this subject compared to the statistical methods that have been used for years, which in most cases assume that the distribution of the rate of returns of the examined series is normal. The aim of the study is to determine the nature of the changes in oil, dollar and Polish fuel prices: whether they are random or determined. In addition, the second aim is to investigate the cause and effect relationship between the price changes of the above-mentioned stocks. Tools such as rescaled range analysis, mean and variance stability analysis and technical analysis will be used. Conclusions resulting from the examination of the three indicated values should be interesting for capital market participants. The article ends with a short-term forecast for WIG-oil&gas.
Mając na uwadze nieprzypadkowy ruch cen przedmiotów handlu giełdowego, metodami i narzędziami teorii chaosu można pokazać, że zmiany cen podlegają prawom chaosu deterministycznego. Jest to nowe spojrzenie na ten temat w porównaniu z metodami statystycznymi stosowanymi od lat, które w większości przypadków zakładają, że rozkład stopy zwrotu z badanej serii jest normalny. Celem pracy jest określenie charakteru zmian cen ropy, dolara i polskich spółek paliwowych: czy są losowe czy zdeterminowane. Ponadto drugim celem jest zbadanie związku przyczynowo skutkowego między zmianami cen wyżej wymienionych walorów giełdowych. Wykorzystane zostaną narzędzia takie jak analiza przeskalowanego zakresu, analiza stabilności średniej i wariancji oraz analiza techniczna. Wnioski wynikające ze zbadania trzech wskazanych walorów powinny być interesujące dla uczestników rynku kapitałowego. Na końcu zamieszczono krótkookresową prognozę WIG-paliwa.
Źródło:
Zeszyty Naukowe Uniwersytetu Przyrodniczo-Humanistycznego w Siedlcach; 2020, 53, 126; 37-45
2082-5501
Pojawia się w:
Zeszyty Naukowe Uniwersytetu Przyrodniczo-Humanistycznego w Siedlcach
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Absorptive separation of carbon dioxide from flue gas of high capacity power plants
Autorzy:
Wójcik, K.
Powiązania:
https://bibliotekanauki.pl/articles/175330.pdf
Data publikacji:
2016
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
CO2 capture
economic and technical analysis
Opis:
The paper presents a methodology for modeling the processes of absorptive separation of carbon dioxide (CO2) from the power plant flue gases. The absorption systemsof two supercritical power plants with the capacity of 460 MW and 600 MW were selected for the study. The process of CO2 separation from flue gases by means of chemical absorption with the use of monoethanolamine and NH3 aqueous solutions was analysed. The power plant demands for power needed for the separation, compression and transport of CO2 to the disposal site was determined. The effects of absorptive separation of CO2 for the power plant were determined, and an economic analysis of such an undertaking was conducted.
Źródło:
Transactions of the Institute of Fluid-Flow Machinery; 2016, 132; 29-56
0079-3205
Pojawia się w:
Transactions of the Institute of Fluid-Flow Machinery
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Nvidias Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem
Autorzy:
Chlebus, Marcin
Dyczko, Michał
Woźniak, Michał
Powiązania:
https://bibliotekanauki.pl/articles/1356517.pdf
Data publikacji:
2021-01-29
Wydawca:
Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:
machine learning
nvidia
stock returns
technical analysis
fundamental analysis
Opis:
Statistical learning models have profoundly changed the rules of trading on the stock exchange. Quantitative analysts try to utilise them predict potential profits and risks in a better manner. However, the available studies are mostly focused on testing the increasingly complex machine learning models on a selected sample of stocks, indexes etc. without a thorough understanding and consideration of their economic environment. Therefore, the goal of the article is to create an effective forecasting machine learning model of daily stock returns for a preselected company characterised by a wide portfolio of strategic branches influencing its valuation. We use Nvidia Corporation stock covering the period from 07/2012 to 12/2018 and apply various econometric and machine learning models, considering a diverse group of exogenous features, to analyse the research problem. The results suggest that it is possible to develop predictive machine learning models of Nvidia stock returns (based on many independent environmental variables) which outperform both simple naïve and econometric models. Our contribution to literature is twofold. First, we provide an added value to the strand of literature on the choice of model class to the stock returns prediction problem. Second, our study contributes to the thread of selecting exogenous variables and the need for their stationarity in the case of time series models.
Źródło:
Central European Economic Journal; 2021, 8, 55; 44 - 62
2543-6821
Pojawia się w:
Central European Economic Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Don’t fight the tape! Technical Analysis Momentum and Contrarian Signals as Common Cognitive Biases
Autorzy:
Zielonka, Piotr
Białaszek, Wojciech
Biedrzycki, Paweł
Dzik, Bartłomiej
Powiązania:
https://bibliotekanauki.pl/articles/1933544.pdf
Data publikacji:
2020-02
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
technical analysis
pattern recognition
cognitive biases
momentum
contrarian
Opis:
Purpose: Stock market participants use technical analysis to seek trends in stock price charts despite its doubtful efficiency. We tested whether technical analysis signals represent typical and common cognitive biases associated with the continuation or reversal of the trend. Methodology: We compared investors’ opinions about the predictive power of technical analysis signals grouped into five conditions: real technical analysis signals associated with trend continuation (real momentum signals) or trend reversal (real contrarian signals), fake momentum or fake contrarian signals, and fluctuation signals. Findings: Investors assigned larger predictive power to real and fake signals associated with trend continuation than to signals associated with trend reversal. Fake signals, which represented cognitive biases, elicited similar predictions about trend continuation or reversal to real technical analysis signals. Originality: Market players assess momentum signals to have greater predictive power than contrarian signals and neutral signals to have the least predictive power. These results are independent of whether technical analysis signals were well-known to investors or made up by experimenters. The hardwired propensity of our brains to detect patterns combined with the non-natural environment of the stock market creates the illusion of expertise that is not easy to dispel.
Źródło:
Central European Management Journal; 2020, 28(2); 98-110
2658-0845
2658-2430
Pojawia się w:
Central European Management Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Role of Need for Structure in Technical Analysis and How Identifying Information in Price Movements Raises Traders’ Confidence
Autorzy:
Markiewicz, Łukasz
Czupryna, Marcin
Kubińska, Elżbieta
Powiązania:
https://bibliotekanauki.pl/articles/1198430.pdf
Data publikacji:
2020
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
technical analysis
chartists
overconfidence
confidence
dubious data
cognitive closure
Opis:
Technical analysis (TA) is a tool believed to support investor’s investment decisions. Even if research has demonstrated that TA cannot be used to make systematic profits over a long time period, it could potentially bring psychological payoffs to its users in the form of enhancing their confidence. In an experimental study we show that: (1) chartists demonstrate overconfidence in TA usage, believing that they are better than they actually are in TA formation recognition, and that; (2) the act of naming an observed trend as a TA formation brings extra confidence to the chartist, regardless of whether this is a real TA sequence or a random sequence. Thus, both naming an existing TA formation as a TA formation and naming a random sequence as a TA formation result in greater confidence.Also, irrespective of the high popularity of TA among investors, there are marked individual differences in TA followers. In a questionnaire study, we demonstrate that declared positive attitudes toward TA correlate positively with high need for (cognitive) closure (as measured by the Need for Cognitive Closure Scale; NFCS), specifically, desire for predictability.
Źródło:
Decyzje; 2020, 33; 75-96
1733-0092
2391-761X
Pojawia się w:
Decyzje
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Technical and ecological analysis of different solutions of the power supply of a marine diesel engine
Autorzy:
Krakowski, Rafał
Powiązania:
https://bibliotekanauki.pl/articles/242528.pdf
Data publikacji:
2019
Wydawca:
Instytut Techniczny Wojsk Lotniczych
Tematy:
technical analysis
special area
exhaust gas scrubbers
alternative drives
Opis:
The article contains provisions on the prevention of sea pollution by ships, including, inter alia, the International Convention for the Prevention of Pollution from Ships, developed in 1973 (MARPOL). The convention aims to protect the marine environment from oil and its derivatives. Special areas, where extraordinary measures have been taken to prevent sea pollution, due to the intensity of ship traffic and the greater threat of damage to the marine environment have also been presented. In the further part of the article, the applicability of various pro-ecological solutions, i.e. the use of catalysts, low-sulphur fuels, and in the case of using residual fuels – exhaust gas scrubbers were described. In the main part of the article, a technical and ecological analysis was made. In addition, difficulties resulting from the use of pro-ecological solutions were described. The costs of using low-sulphur fuel meeting the emission standards, installing the scrubber and modification of the natural gas combustion unit were compared with the assumption of ten years of passenger-car ferry sailing. Then the problems that individual solutions create were shown. In the final part of the article, alternatives to those described, i.e. the liquefied natural gas (LNG) power supply, electric and hydrogen drives were presented.
Źródło:
Journal of KONES; 2019, 26, 4; 127-134
1231-4005
2354-0133
Pojawia się w:
Journal of KONES
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Algorithmic Trading and Efficiency of the Stock Market in Poland
Autorzy:
Jóźwicki, Rafał
Trippner, Paweł
Kłos, Karolina
Powiązania:
https://bibliotekanauki.pl/articles/1368020.pdf
Data publikacji:
2021-06-30
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
algorithmic trading
market efficiency
trading system
investing
technical analysis
Opis:
The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that algorithmic trading can contribute to a better rate of return than when using passive investment strategies. Technological progress can be observed in many different aspects of our lives, including investing in capital markets where we can see changes resulting from the spread of new technologies. The methodology used in this paper consists in confronting a sample trading system based on classical technical analysis tools with a control strategy consisting in buying securities at the beginning of the test period and holding them until the end of this period. The results obtained confirm the validity of the theory of information efficiency of the capital market, as the active investment strategy based on algorithmic trading did not yield better results than the control strategy.
Źródło:
Finanse i Prawo Finansowe; 2021, 2, 30; 75-85
2391-6478
2353-5601
Pojawia się w:
Finanse i Prawo Finansowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modification of technical analysis indicators and increasing the rate of return on investment
Autorzy:
Oktaba, Paweł
Grzywińska-Rąpca, Małgorzata
Powiązania:
https://bibliotekanauki.pl/articles/2216199.pdf
Data publikacji:
2023-06-30
Wydawca:
Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:
Currency exchange rate
Intraday Trading
OTC Market
Technical analysis
Opis:
Financial markets are seen as one of the most important markets in economic terms. The activities of investors in thefinancial markets consist in predicting how best to invest the accumulated capital, using all kinds of analyzes andforecasts. In the literature on the subject, apart from fundamental analysis, technical analysis is distinguished. Whilethe first one is to help you choose a specific asset with profitable potential, technical analysis is designed to help theinvestor find a specific moment that is most suitable for buying or selling. The aim of the article is to demonstratethe potential benefits associated with modifying the default settings of technical analysis indicators on the exampleof the EUR/USD currency pair using the MetaTrader4 investment platform. Analizing was carried out on the basis ofthe most popular currency pair in terms of turnover on the Forex market - EUR/USD. The research used an investmentstrategy based on Parabolic SAR and Relative Strength Index RSI technical analysis indicators, whose indications wereverified both in the context of default settings and after the author‘s modification. The results of the conducted rese-arch indicate significant differences, depending on the adopted parameters of the above-mentioned indicators.
Źródło:
Central European Economic Journal; 2023, 10, 57; 148-162
2543-6821
Pojawia się w:
Central European Economic Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Effectiveness of the Transaction Systems on the Dax Index
Autorzy:
Trembiński, Marek
Stawska, Joanna
Powiązania:
https://bibliotekanauki.pl/articles/2121681.pdf
Data publikacji:
2021-09-03
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
technical analysis
trading systems
DAX index
stock exchange
investment strategies
Opis:
The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation. Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio). Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.
Źródło:
Finanse i Prawo Finansowe; 2021, Numer Specjalny; 159-184
2391-6478
2353-5601
Pojawia się w:
Finanse i Prawo Finansowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Effectiveness of the Transaction Systems on the Dax Index
Autorzy:
Trembiński, Marek
Stawska, Joanna
Powiązania:
https://bibliotekanauki.pl/articles/1022855.pdf
Data publikacji:
2020-12-31
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
technical analysis
trading systems
DAX index
stock exchange
investment strategies
Opis:
The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation.Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio).Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.
Źródło:
Finanse i Prawo Finansowe; 2020, 4, 28; 149-174
2391-6478
2353-5601
Pojawia się w:
Finanse i Prawo Finansowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Can individual investors benefit from technical analysis in markets of soft commodities? Empirical study for 2010–2018
Czy inwestorzy indywidualni mogą osiągać zysk na rynkach soft commodities na podstawie analizy technicznej? Weryfikacja empiryczna dla okresu 2010-2018
Autorzy:
Górska, A.
Krawiec, M.
Powiązania:
https://bibliotekanauki.pl/articles/2117642.pdf
Data publikacji:
2020
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
Tematy:
soft commodities
technical analysis
profitability of technical rules
analiza techniczna
efektywność reguł analizy technicznej
Opis:
After the 2008 financial crisis, many investors diversified their portfolios with different commodities, including the so-called softs. This paper aims to answer the question of whether individual investors can benefit from technical analysis on soft commodity markets. The empirical study is based on daily quotations of six soft commodities: coffee, cocoa, sugar, cotton, rubber and frozen concentrated orange juice from 2010 to 2018, and investigates the profitability of applying indicators and oscillators based on moving averages with different length. The results show that the application of five-day simple and weighted moving averages and momentum oscillators was most effective, providing positive returns in five out of six soft commodities markets.
Od czasu kryzysu finansowego z 2008 roku wielu inwestorów dywersyfikuje swoje portfele poprzez włączenie do nich towarów w tym tzw. soft commodities. Celem niniejszej pracy jest odpowiedź na pytanie, czy inwestorzy indywidualni mogą osiągać zyski w wyniku zastosowania analizy technicznej na rynkach soft commodities. Podstawę przeprowadzonych badań empirycznych stanowią dzienne notowania sześciu towarów z grupy soft commodities: kawy, kakao, cukru, bawełny, kauczuku i mrożonego koncentratu soku pomarańczowego, w okresie od 2010 do 2018 roku. Ich celem jest ocena efektywności zastosowania wybranych wskaźników i oscylatorów opartych na średnich ruchomych o różnej długości. Otrzymane wyniki pokazują, że w badanym okresie najbardziej efektywne było wykorzystanie pięciodniowych prostych i ważonych średnich ruchomych oraz oscylatora Momentum, przynosząc pozytywne rezultaty na pięciu z sześciu analizowanych rynków soft commodities.
Źródło:
Acta Scientiarum Polonorum. Oeconomia; 2020, 19, 2; 25-32
1644-0757
Pojawia się w:
Acta Scientiarum Polonorum. Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Assessment of the effectiveness of Polish social responsible company portfolios based on moving averages
Autorzy:
Jamróz, Paweł
Piekunko-Mantiuk, Iwona
Powiązania:
https://bibliotekanauki.pl/articles/2125584.pdf
Data publikacji:
2019
Wydawca:
Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:
social responsibility company
securities portfolios
socially responsible investments
moving average
technical analysis
Opis:
Purpose – Assessment of the effectiveness of portfolios composed of shares of Polish socially responsible companies based on moving averages and determination of their optimal lengths. Research method – The moving average method was used as a part of the technical analysis of companies included in the RESPECT index. Data from the Thompson Reuters database was used using the Metastock XVI program. The research was conducted on daily data from 30/12/2009 to 30/09/2019 (2418 sessions). The strategies used to build the portfolios were optimized to maximize the rate of return. Results – Definitely higher rates of return were obtained by using two moving averages rather than one. Multi-component portfolios based on two averages generated better results than the buy and hold strategy and compared stock indexes: RESPECT, WIG20, WIG30, WIG. There is a different optimal average length for each portfolio tested that should be used to maximize returns. Originality / value / implications / recommendations – According to the authors’ knowledge this paper is one of the first studies in Poland that uses moving averages to optimize the investment portfolio using shares of socially responsible companies. Owing to the results obtained, the work indicates that there are simple investment strategies that enable achieving above-average returns in the long run, which undermines the hypothesis of information-efficient markets in a weak form.
Źródło:
Optimum. Economic Studies; 2019, 4(98); 163-175
1506-7637
Pojawia się w:
Optimum. Economic Studies
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of the EUR/USD exchange rate in binary-temporal representation
Autorzy:
Stasiak, Michał Dominik
Powiązania:
https://bibliotekanauki.pl/articles/692587.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
foreign exchange market
high frequency econometrics
technical analysis
modeling of currency exchange rates
Opis:
An exchange rate between two currencies can be described in a binary representation. The binarization algorithm transforms the exchange rate represented by tick data into a binary string. Each course change equal to a given discretization unit is assigned a binary value indicating the direction of the change. The performed statistical analysis confirms the existence of a correlation between previous course changes and the probability of future direction of the changes. In order to conduct a more detailed analysis of the exchange rate in a binary representation, each shift in the trajectory can be assigned a parameter representing the duration of the change. Depending on the current market dynamics, course trajectory changes may occur at different moments in time. The main goal of the presented research is to verify the existence of any dependences between the duration of a change and the probability of future direction of the change.
Źródło:
Research Papers in Economics and Finance; 2017, 2, 2; 39-45
2543-6430
Pojawia się w:
Research Papers in Economics and Finance
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Metody ewolucyjne w analizie zmian kursu akcji spółek giełdowych
Evolutionary methods for the analysis of changes in price of company stock exchange
Autorzy:
Wojarnik, Grzegorz
Powiązania:
https://bibliotekanauki.pl/articles/1367355.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Szczeciński. Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Tematy:
genetic algorithms
stock exchange
technical analysis
algorytmy genetyczne
giełda papierów wartościowych
analiza techniczna
Opis:
Metody ewolucyjne są jedną z dróg rozwoju sztucznej inteligencji, która czerpiąc z teorii doboru naturalnego, pozwala na rozwiązywanie złożonych problemów, trudnych do rozwiązania tradycyjnymi metodami ekonometrycznymi, statystycznymi lub przy pomocy badań operacyjnych. Jedną z podstawowych metod ewolucyjnych są algorytmy genetyczne, które były wielokrotnie wykorzystane do rozwiązywania różnorodnych problemów związanych z inwestowaniem na rynku papierów wartościowych. Dlatego celem artykułu jest systematyka doświadczeń związanych z wykorzystaniem algorytmów genetycznych w analizie zmian kursu akcji spółek giełdowych oraz podsumowanie osiągnięć w tym zakresie. Jednocześnie artykuł będzie stanowił próbę przedstawienia warunków brzegowych oraz klas problemów z obszaru giełdy papierów wartościowych, najbardziej dogodnych i nadających się do wykorzystania metod ewolucyjnych ze szczególnym uwzględnieniem algorytmów genetycznych.
Evolutionary methods are one of the paths of development of artificial intelligence, which is drawing from the theory of natural selection allows you to solve complex problems, that are difficult to solve using traditional methods econometric, statistical or operations research.One of the basic evolutionary methods are genetic algorithms that are repeatedly used to solve various problems associated with investing in the stock market. Therefore the aim of this article is to review the experience associated with the use of genetic algorithms in the analysis of the share price of listed and to present examples of achievements in this field.Simultaneously this article can be described as an attempt to present a class of problems in the area of the stock market that are most suitable for use evolutionary methods with particular emphasis on genetic algorithms.
Źródło:
Zeszyty Naukowe. Studia Informatica; 2015, 36; 39-50
0867-1753
Pojawia się w:
Zeszyty Naukowe. Studia Informatica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Empirical study of the relative strength in the currency portfolio construction
Empiryczne studium siły relatywnej w konstrukcji portfela walutowego
Autorzy:
Pruchnicka-Grabias, Izabela
Powiązania:
https://bibliotekanauki.pl/articles/588638.pdf
Data publikacji:
2018
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Moving Average Convergence Divergence (MACD)
Relative value
Technical analysis
Analiza techniczna
Siła relatywna
Opis:
The relative strength – one of the most useful tools of the technical analysis – is tested in the paper. It is defined as higher upsurge of asset prices and lower reduction than for other assets in the examined period of time. It can be put into use for different assets, however, the majority of authors utilizes it on stock markets. In this study, the currency market is in question. The author creates currency portfolios and checks their profitability with the use of the relative strengths compared with the buy and hold strategy. It turns out that the former lets achieve higher rates of return for all currencies tested in the study. What’s more, in some cases, the buy and hold strategy resulted in losses, whereas at the same time, the relative strength technique resulted in profits. When both strategies ended with losses, they were lower in the case of the relative strength technique. The Moving Average Convergence Divergence indicator was applied to find buy and sell signals. The research period is one year. It starts in October 2016 and ends at the end of September 2017. All major currencies were tested from the point of view of the Polish investor.
W artykule podjęto analizę siły relatywnej, jednego z najbardziej użytecznych narzędzi analizy technicznej. Dla potrzeb opracowania należy ją rozumieć jako większy wzrost wartości aktywów i mniejszy ich spadek niż dla pozostałych w badanym okresie czasu. Można ją wykorzystać na dowolnym instrumencie, przy czym większość autorów przeprowadza badania na rynkach akcji. W niniejszym artykule skupiono się na walutach. Autorka tworzy portfele walutowe i sprawdza ich zyskowność w porównaniu ze strategią „kup i trzymaj”. Okazuje się, że ta pierwsza pozwala na realizację wyższych zysków dla każdej z badanych par walutowych. Co więcej, w niektórych przypadkach strategia „kup i trzymaj” prowadziła do strat, a zastosowanie siły relatywnej skutkowało dodatnim wynikiem z inwestycji. Kiedy obydwie strategie generowały straty, były on mniejsze dla siły relatywnej. Sygnały kupna i sprzedaży wychwytywano za pomocą wskaźnika MACD. Okresem badawczym był czas od października 2016 r. do września 2017 r., czyli 1 rok. Wszystkie pary walutowe były testowane z perspektywy polskiego inwestora.
Źródło:
Studia Ekonomiczne; 2018, 356; 109-123
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 64

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