Reaction trend system with GARCH quantiles as action points

Fiorucci, Jose Augusto; Silva, Geraldo Nunes; Barboza, Flavio Luiz de Moraes

Full metadata record

DC Field	Value	Language
dc.contributor.author	Fiorucci, Jose Augusto	-
dc.contributor.author	Silva, Geraldo Nunes	-
dc.contributor.author	Barboza, Flavio Luiz de Moraes	-
dc.date.accessioned	2022-11-07T20:43:56Z	-
dc.date.available	2022-11-07T20:43:56Z	-
dc.date.issued	2022-03-05	-
dc.identifier.citation	FIORUCCI, Jose Augusto; SILVA, Geraldo Nunes; BARBOZA, Flavio. Reaction trend system with GARCH quantiles as action points. Expert Systems with Applications, v. 198, art. 116750, jul. 2022. DOI 10.1016/j.eswa.2022.116750. Disponível em: https://www.sciencedirect.com/science/article/pii/S0957417422002172?via%3Dihub. Acesso em: 07 nov. 2022.	pt_BR
dc.identifier.uri	https://repositorio.unb.br/handle/10482/45128	-
dc.language.iso	Inglês	pt_BR
dc.publisher	Elsevier	pt_BR
dc.rights	Acesso Restrito	pt_BR
dc.title	Reaction trend system with GARCH quantiles as action points	pt_BR
dc.type	Artigo	pt_BR
dc.subject.keyword	Modelo estatístico	pt_BR
dc.subject.keyword	Volatilidade	pt_BR
dc.subject.keyword	Intervalo de preços	pt_BR
dc.subject.keyword	Modelos ARCH	pt_BR
dc.identifier.doi	https://doi.org/10.1016/j.eswa.2022.116750	pt_BR
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S0957417422002172?via%3Dihub	pt_BR
dc.description.abstract1	Most trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.	pt_BR
dc.identifier.orcid	https://orcid.org/0000-0002-1201-9089	pt_BR
dc.identifier.orcid	https://orcid.org/0000-0002-3574-9893	pt_BR
dc.identifier.orcid	https://orcid.org/0000-0002-3449-5297	pt_BR
dc.contributor.email	mailto:jafiorucci@unb.br	pt_BR
dc.contributor.email	mailto:geraldo.silva@unesp.br	pt_BR
dc.contributor.email	mailto:flmbarboza@ufu.br	pt_BR
Appears in Collections:	Artigos publicados em periódicos e afins