Reaction trend system with GARCH quantiles as action points[Formula presented]

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dc.contributor.authorFiorucci, Jose Augusto
dc.contributor.authorSilva, Geraldo Nunes [UNESP]
dc.contributor.authorBarboza, Flavio
dc.contributor.institution70910–900
dc.contributor.institutionUniversidade Estadual Paulista (UNESP)
dc.contributor.institutionUniversidade Federal de Uberlândia (UFU)
dc.date.accessioned2022-05-01T15:46:14Z
dc.date.available2022-05-01T15:46:14Z
dc.date.issued2022-07-15
dc.description.abstractMost trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.en
dc.description.affiliationUniversity of Brasília (UnB) Department of Statistics Campus Darcy Ribeiro Brasília–DF 70910–900
dc.description.affiliationSão Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000
dc.description.affiliationFederal University of Uberlândia (UFU) School of Business and Management Uberlândia–MG 38400–902
dc.description.affiliationUnespSão Paulo State University (UNESP) Institute of Biosciences Humanities and Exact Sciences São José do Rio Preto–SP 15054–000
dc.description.sponsorshipFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.description.sponsorshipConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.description.sponsorshipIdFAPESP: 2013/07375-0
dc.description.sponsorshipIdFAPESP: 2016/10431-7
dc.description.sponsorshipIdCNPq: 435173/2018-9
dc.identifierhttp://dx.doi.org/10.1016/j.eswa.2022.116750
dc.identifier.citationExpert Systems with Applications, v. 198.
dc.identifier.doi10.1016/j.eswa.2022.116750
dc.identifier.issn0957-4174
dc.identifier.scopus2-s2.0-85126678885
dc.identifier.urihttp://hdl.handle.net/11449/234290
dc.language.isoeng
dc.relation.ispartofExpert Systems with Applications
dc.sourceScopus
dc.subjectprediction of price intervals
dc.subjectStatistical volatility model
dc.subjectTechnical analysis
dc.subjectWilder's trading strategies
dc.titleReaction trend system with GARCH quantiles as action points[Formula presented]en
dc.typeArtigo
unesp.author.orcid0000-0002-1201-9089[1]
unesp.author.orcid0000-0002-3574-9893[2]
unesp.author.orcid0000-0002-3449-5297[3]

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