DocumentCode :
3600869
Title :
Dynamical Models of Stock Prices Based on Technical Trading Rules—Part III: Application to Hong Kong Stocks
Author :
Li-Xin Wang
Author_Institution :
Dept. of Autom. Sci. & Technol., Xian Jiaotong Univ., Xian, China
Volume :
23
Issue :
5
fYear :
2015
Firstpage :
1680
Lastpage :
1697
Abstract :
In Part III of this study, we apply the price dynamical model with big buyers and big sellers developed in Part I of this paper to the daily closing prices of the top 20 banking and real estate stocks listed in the Hong Kong Stock Exchange. The basic idea is to estimate the strength parameters of the big buyers and the big sellers in the model and make buy/sell decisions based on these parameter estimates. We propose two trading strategies: 1) Follow-the-Big-Buyer, which buys when big buyer begins to appear and there is no sign of big sellers, holds the stock as long as the big buyer is still there, and sells the stock once the big buyer disappears; and 2) Ride-the-Mood, which buys as soon as the big buyer strength begins to surpass the big seller strength and sells the stock once the opposite happens. Based on the testing over 245 two-year intervals uniformly distributed across the seven years from July 3, 2007 to July 2, 2014, which includes a variety of scenarios, the net profits would increase 67% or 120% on average if an investor switched from the benchmark Buy-and-Hold strategy to the Follow-the-Big-Buyer or Ride-the-Mood strategies during this period, respectively.
Keywords :
banking; pricing; property market; stock markets; Hong Kong stock exchange; banking stocks; big buyer strength; big buyers; big seller strength; big sellers; buy-and-hold strategy; daily closing prices; follow-the-big-buyer; parameter estimates; price dynamical model; real estate stocks; ride-the-mood; stock prices; technical trading rules; Fuzzy systems; Heuristic algorithms; Noise measurement; Parameter estimation; Signal to noise ratio; Stock markets; Efficient market hypothesis; fuzzy systems; nonlinear dynamics; stock markets; trading strategies;
fLanguage :
English
Journal_Title :
Fuzzy Systems, IEEE Transactions on
Publisher :
ieee
ISSN :
1063-6706
Type :
jour
DOI :
10.1109/TFUZZ.2014.2374193
Filename :
6965624
Link To Document :
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