CSpace  > 系统科学研究所
theroleofjapanesecandlestickindvarmodel
Xie Haibin1; Fan Kuikui2; Wang Shouyang3
2015
Source Publicationjournalofsystemsscienceandcomplexity
ISSN1009-6124
Volume28Issue:5Pages:1177
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.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/37011
Collection系统科学研究所
Affiliation1.对外经济贸易大学
2.上海财经大学
3.中国科学院数学与系统科学研究院
Recommended Citation
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.
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.