Implementation of logistic regression into technical analysis

D 2013

Implementation of logistic regression into technical analysis

HRUŠKA, Juraj

Základní údaje

Originální název

Implementation of logistic regression into technical analysis

Autoři

HRUŠKA, Juraj (703 Slovensko, garant, domácí)

Vydání

Jihlava, Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, od s. 297-302, 6 s. 2013

Nakladatel

College of Polytechnics Jihlava

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Kód RIV

RIV/00216224:14560/13:00069574

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-87035-76-4

UT WoS

000335578000051

Klíčová slova anglicky

logistic regression; technical analysis; moving averages; automated trading

Změněno: 7. 10. 2014 16:16, Ing. Mgr. Juraj Hruška, Ph.D.

Anotace

V originále

Most of the investment strategies based on technical analysis are based on the principle that your strategy should be as easy as it is possible; in order to simplify your decision making. Goal of this paper is to use more sophisticated methods to combine the signals from indicators of technical analysis to create advanced form of investing strategy, which will be sustainable in long run. This can be ensured by self-correcting mechanisms build-in the strategy itself. Econometrical methods will be used to determine whether some kind of indicator has it relevance on the chosen type of asset. All input variables will be time series of dummy variables showing whether the indicator is suggesting taking a long position or not and of course their lags. Explained variable will be the successful trade (the price movement upwards is greater then spread and commissions). For this kind of purposes logistic regression seems to be essential, which is widely used in credit scoring. Basically the problem whether to invest or not is the same issue as whether to give a customer a loan or not. The only difference will be in the type of data. Credit scoring use mostly panel data, however it will be handled solely with time series in this paper.

Návaznosti

MUNI/A/0753/2012, interní kód MU

Název: Evropské finanční systémy 2013 (Akronym: EFS)

Investor: Masarykova univerzita, Evropské finanční systémy 2013, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HRUŠKA, Juraj. Implementation of logistic regression into technical analysis. In Hana Vojáčková. Proceedings of the 31st International Conference Mathematical Methods in Economics 2013. Jihlava: College of Polytechnics Jihlava, 2013, s. 297-302. ISBN 978-80-87035-76-4.

@inproceedings{1124401,
   author = {Hruška, Juraj},
   address = {Jihlava},
   booktitle = {Proceedings of the 31st International Conference Mathematical Methods in Economics 2013},
   editor = {Hana Vojáčková},
   keywords = {logistic regression; technical analysis; moving averages; automated trading},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Jihlava},
   isbn = {978-80-87035-76-4},
   pages = {297-302},
   publisher = {College of Polytechnics Jihlava},
   title = {Implementation of logistic regression into technical analysis},
   year = {2013}
}

TY  - JOUR
ID  - 1124401
AU  - Hruška, Juraj
PY  - 2013
TI  - Implementation of logistic regression into technical analysis
PB  - College of Polytechnics Jihlava
CY  - Jihlava
SN  - 9788087035764
KW  - logistic regression
KW  - technical analysis
KW  - moving averages
KW  - automated trading
N2  - Most of the investment strategies based on technical analysis are based on the principle that your strategy should be as easy as it is possible; in order to simplify your decision making. Goal of this paper is to use more sophisticated methods to combine the signals from indicators of technical analysis to create advanced form of investing strategy, which will be sustainable in long run. This can be ensured by self-correcting mechanisms build-in the strategy itself. Econometrical methods will be used to determine whether some kind of indicator has it relevance on the chosen type of asset. All input variables will be time series of dummy variables showing whether the indicator is suggesting taking a long position or not and of course their lags. Explained variable will be the successful trade (the price movement upwards is greater then spread and commissions). For this kind of purposes logistic regression seems to be essential, which is widely used in credit scoring. Basically the problem whether to invest or not is the same issue as whether to give a customer a loan or not. The only difference will be in the type of data. Credit scoring use mostly panel data, however it will be handled solely with time series in this paper.
ER  -

HRUŠKA, Juraj. Implementation of logistic regression into technical analysis. In Hana Vojáčková. \textit{Proceedings of the 31st International Conference Mathematical Methods in Economics 2013}. Jihlava: College of Polytechnics Jihlava, 2013, s.~297-302. ISBN~978-80-87035-76-4.

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