Анализ эффективности методов технического анализа при прогнозировании фондовых индексов

Авторы: А. Ставицкий, д-р экон. наук, доц., ORCID iD 0000-0002-5645-6758; В. Тараба, экономист, ORCID iD 0000-0002-5265-8571, Киевский национальный университет имени Тараса Шевченко, Киев, Украина

Аннотация: Проанализирована доходность методов технического анализа для 7 фондовых индексов за последние 10 лет. Согласно полученным результатам доходность технического анализа возросла в последнее время из-за изменения условий на рынке, зато для 2010–2018 гг. эффективность методов технического анализа была значительно ниже. Рассмотрены вопросы агрегирования сигналов технического анализа и сигналов ARIMA-моделей. Полученные результаты могут быть использованы для разработки торговых стратегий.

Ключевые слова: фондовые индексы, технический анализ, ARIMA-модели.

Recei ved: 28/07/ 2020
1st Revision: 03/08/2020
Accepted: 06/09/ 2020

DOI: https://doi.org/10.17721/1728-2667.2020/211-4/5

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