theroleofjapanesecandlestickindvarmodel

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	theroleofjapanesecandlestickindvarmodel
	Xie Haibin 1; Fan Kuikui 2; Wang Shouyang3
	2015
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	28 期号:5 页码:1177
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
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/37011
专题	系统科学研究所
作者单位	1.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
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.