CSpace  > 系统科学研究所
The role of Japanese Candlestick in DVAR model
Xie Haibin1; Fan Kuikui2; Wang Shouyang3
2015-10-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume28Issue:5Pages:1177-1193
AbstractThe 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.
KeywordChinese stock market Japanese candlestick stock market forecast technical analysis
DOI10.1007/s11424-014-2201-2
Language英语
Funding ProjectNational Natural Science Foundation of China[71401033]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000358602600012
PublisherSPRINGER HEIDELBERG
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/20430
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Xie Haibin]'s Articles
[Fan Kuikui]'s Articles
[Wang Shouyang]'s Articles
Baidu academic
Similar articles in Baidu academic
[Xie Haibin]'s Articles
[Fan Kuikui]'s Articles
[Wang Shouyang]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Xie Haibin]'s Articles
[Fan Kuikui]'s Articles
[Wang Shouyang]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.