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Pregled bibliografske jedinice broj: 807211

Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading


Žmuk, Berislav
Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading // Naše gospodarstvo/Our economy, 62 (2016), 1; 12-26 doi:10.1515/ngoe-2016-0002 (podatak o recenziji nije dostupan, članak, znanstveni)


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Naslov
Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading

Autori
Žmuk, Berislav

Izvornik
Naše gospodarstvo/Our economy (2385-8052) 62 (2016), 1; 12-26

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Zagreb Stock Exchange; investments; statistical process control; autocorrelation; residual-based control charts

Sažetak
The aim of this paper is to introduce and develop additional statistical tools that should 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, have 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 level of their use in this field also.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Ustanove:
Ekonomski fakultet, Zagreb

Profili:

Avatar Url Berislav Žmuk (autor)

doi

Citiraj ovu publikaciju

Žmuk, Berislav
Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading // Naše gospodarstvo/Our economy, 62 (2016), 1; 12-26 doi:10.1515/ngoe-2016-0002 (podatak o recenziji nije dostupan, članak, znanstveni)
Žmuk, B. (2016) Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading. Naše gospodarstvo/Our economy, 62 (1), 12-26 doi:10.1515/ngoe-2016-0002.
@article{article, author = {\v{Z}muk, B.}, year = {2016}, pages = {12-26}, DOI = {10.1515/ngoe-2016-0002}, keywords = {Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts}, journal = {Na\v{s}e gospodarstvo/Our economy}, doi = {10.1515/ngoe-2016-0002}, volume = {62}, number = {1}, issn = {2385-8052}, title = {Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading}, keyword = {Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts} }
@article{article, author = {\v{Z}muk, B.}, year = {2016}, pages = {12-26}, DOI = {10.1515/ngoe-2016-0002}, keywords = {Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts}, journal = {Na\v{s}e gospodarstvo/Our economy}, doi = {10.1515/ngoe-2016-0002}, volume = {62}, number = {1}, issn = {2385-8052}, title = {Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading}, keyword = {Zagreb Stock Exchange, investments, statistical process control, autocorrelation, residual-based control charts} }

Uključenost u ostale bibliografske baze podataka:


  • ABI/INFORM
  • EconLit


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