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dc.contributor.authorFiorucci, Jose Augusto-
dc.contributor.authorSilva, Geraldo Nunes-
dc.contributor.authorBarboza, Flavio Luiz de Moraes-
dc.date.accessioned2022-11-07T20:43:56Z-
dc.date.available2022-11-07T20:43:56Z-
dc.date.issued2022-03-05-
dc.identifier.citationFIORUCCI, 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.urihttps://repositorio.unb.br/handle/10482/45128-
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.rightsAcesso Restritopt_BR
dc.titleReaction trend system with GARCH quantiles as action pointspt_BR
dc.typeArtigopt_BR
dc.subject.keywordModelo estatísticopt_BR
dc.subject.keywordVolatilidadept_BR
dc.subject.keywordIntervalo de preçospt_BR
dc.subject.keywordModelos ARCHpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.eswa.2022.116750pt_BR
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S0957417422002172?via%3Dihubpt_BR
dc.description.abstract1Most 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.orcidhttps://orcid.org/0000-0002-1201-9089pt_BR
dc.identifier.orcidhttps://orcid.org/0000-0002-3574-9893pt_BR
dc.identifier.orcidhttps://orcid.org/0000-0002-3449-5297pt_BR
dc.contributor.emailmailto:jafiorucci@unb.brpt_BR
dc.contributor.emailmailto:geraldo.silva@unesp.brpt_BR
dc.contributor.emailmailto:flmbarboza@ufu.brpt_BR
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