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  1. Journal of Systems Science and Complexity
  2. Journal of Systems Science and Complexity : Volume 28
  3. Journal of Systems Science and Complexity : Volume 28, Issue 5, October 2015
  4. The role of Japanese Candlestick in DVAR model
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Journal of Systems Science and Complexity : Volume 30
Journal of Systems Science and Complexity : Volume 29
Journal of Systems Science and Complexity : Volume 28
Journal of Systems Science and Complexity : Volume 28, Issue 6, December 2015
Journal of Systems Science and Complexity : Volume 28, Issue 5, October 2015
Reliability analysis of a cold standby repairable system with repairman extra work
Approximate controllability of second-order neutral stochastic differential equations with infinite delay and Poisson jumps
Application of Sturm Theorem in the global controllability of a class of high dimensional polynomial systems
Optimal credibility estimation of random parameters in hierarchical random effect linear model
Global stability in a competition model of plankton allelopathy with infinite delay
A novel hybrid FA-Based LSSVR learning paradigm for hydropower consumption forecasting
Approximation algorithms for the priority facility location problem with penalties
Resource planning and allocation problem under uncertain environment
An active-set projected trust region algorithm for box constrained optimization problems
Multiobjective program with support functions under (G, C, ρ)-convexity assumptions
The detecting system of image forgeries with noise features and EXIF information
The role of Japanese Candlestick in DVAR model
Generic regular decompositions for parametric polynomial systems
On Eigen-matrix translation method for classification of biological data
A note on determine the greatest common subfamily of two NFSRs by Gröbner basis
Journal of Systems Science and Complexity : Volume 28, Issue 4, August 2015
Journal of Systems Science and Complexity : Volume 28, Issue 3, June 2015
Journal of Systems Science and Complexity : Volume 28, Issue 2, April 2015
Journal of Systems Science and Complexity : Volume 28, Issue 1, February 2015
Journal of Systems Science and Complexity : Volume 27
Journal of Systems Science and Complexity : Volume 26
Journal of Systems Science and Complexity : Volume 25
Journal of Systems Science and Complexity : Volume 24
Journal of Systems Science and Complexity : Volume 23
Journal of Systems Science and Complexity : Volume 22
Journal of Systems Science and Complexity : Volume 21
Journal of Systems Science and Complexity : Volume 20
Journal of Systems Science and Complexity : Volume 19

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The role of Japanese Candlestick in DVAR model

Content Provider SpringerLink
Author Xie, Haibin Fan, Kuikui Wang, Shouyang
Copyright Year 2015
Abstract The decomposition-based vector autoregressive model (DVAR) provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relationships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the information contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.
Starting Page 1177
Ending Page 1193
Page Count 17
File Format PDF
ISSN 10096124
Journal Journal of Systems Science and Complexity
Volume Number 28
Issue Number 5
e-ISSN 15597067
Language English
Publisher Academy of Mathematics and Systems Science, Chinese Academy of Sciences
Publisher Date 2014-11-28
Publisher Place Beijing
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Chinese stock market Japanese candlestick stock market forecast technical analysis Systems Theory, Control Operations Research/Decision Theory Mathematics of Computing Statistical Physics, Dynamical Systems and Complexity Statistics
Content Type Text
Resource Type Article
Subject Information Systems
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