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Title:Capabilities of statistical residual-based control charts in short-and long-term stock trading
Authors:ID Žmuk, Berislav (Author)
Files:.pdf Nase_gospodarstvoOur_economy_2016_Zmuk_Capabilities_of_Statistical_Residual-Based_Control_Charts_in_Short-_and_Long-Term_Stock_Trading.pdf (731,32 KB)
MD5: 7AF7279D27F85686D1AF8704B8E71A32
PID: 20.500.12556/dkum/87b5c7c9-94ce-430f-a786-186a2fef801d
 
URL https://www.degruyter.com/view/j/ngoe.2016.62.issue-1/ngoe-2016-0002/ngoe-2016-0002.xml
 
Language:English
Work type:Scientific work
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
Abstract:The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.
Keywords:Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts
Publication status:Published
Publication version:Version of Record
Year of publishing:2016
Number of pages:str. 12-26
Numbering:Letn. 62, št. 1
PID:20.500.12556/DKUM-68922 New window
ISSN:0547-3101
UDC:311.21:658.7
ISSN on article:0547-3101
COBISS.SI-ID:12267036 New window
DOI:10.1515/ngoe-2016-0002 New window
NUK URN:URN:SI:UM:DK:NG57HMQT
Publication date in DKUM:13.11.2017
Views:1327
Downloads:399
Metadata:XML DC-XML DC-RDF
Categories:Misc.
:
ŽMUK, Berislav, 2016, Capabilities of statistical residual-based control charts in short-and long-term stock trading. Naše gospodarstvo : revija za aktualna gospodarska vprašanja [online]. 2016. Vol. 62, no. 1, p. 12–26. [Accessed 1 April 2025]. DOI 10.1515/ngoe-2016-0002. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=68922
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Record is a part of a journal

Title:Naše gospodarstvo : revija za aktualna gospodarska vprašanja
Shortened title:Naše gospod.
Publisher:Ekonomsko-poslovna fakulteta, Društvo ekonomistov Maribor, Ekonomski center Maribor
ISSN:0547-3101
COBISS.SI-ID:751364 New window

Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:13.11.2017

Secondary language

Language:Slovenian
Title:Zmožnosti nadzornih diagramov, ki temeljijo na statističnih rezidualih, pri kratkoročnem in dolgoročnem trgovanju z delnicami
Abstract:Namen tega prispevka je predstaviti in razviti dodatna statistična orodja za podporo odločitvenega procesa pri trgovanju z delnicami. Uporabljene so vrednosti delniškega indeksa CROBEX10. Izvedene simulacije trgovanja, ki temeljijo na nadzornih diagramih, temelječih na rezidualih, so v 67,92 % primerov vodile v dobiček investitorja. Kratkoročno je nadzorni diagram kumulativne vsote (CUSUM) vodil v najvišje portfeljske dobičke. Dolgoročno je imel najvišji portfeljski dobiček nadzorni diagram, temelječ na eksponentni uteženi drseči aritmetični sredini rezidualov, pri čemer so bile uporabljene povprečne cene delnic in nadzorne meje 2-sigma. V vseh drugih primerih so se na dolgi rok nadzorni diagrami CUSUM izkazali za najboljšo izbiro. Pričakovati je, da bodo dognanja o možni uspešni uporabi pri trgovanju z delnicami dvignila raven uporabe metod SPC.
Keywords:borza, borzništvo, delnice, Zagrebška borza vrednostnih papirjev, naložbe, statistični nadzor procesov, avtokorelacija, nadzorni diagrami, temelječi na rezidualih


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