Similarities and differences between statistical surveillance and certain decision rules in finance
AbstractFinancial trading rules have the aim of continuously evaluating available information in order to make timely decisions. This is also the aim of methods for statistical surveillance. Many results are available regarding the properties of surveillance methods. We give a review of financial trading rules and use the theory of statistical surveillance to find properties of some commonly used trading rules. In addition, a nonparametric and robust surveillance method is proposed as a trading rule. Evaluation measures used in statistical surveillance are compared with those used in finance. The Hang Seng Index is used for illustration.
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Bibliographic InfoPaper provided by Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg in its series Research Reports with number 2007:8.
Length: 30 pages
Date of creation: 13 Dec 2007
Date of revision:
Publication status: Published in Financial Surveillance, Frisén, Marianne (eds.), 2007, chapter 3, pages 69-92, Wiley.
Contact details of provider:
Postal: Statistical Research Unit, University of Gothenburg, Box 640, SE 40530 GÖTEBORG
Web page: http://www.statistics.gu.se/
Trading rules; Hidden Markov model; Filter rule; Moving average; Statistical surveillance;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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