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Similarities and differences between statistical surveillance and certain decision rules in finance

Author

Listed:
  • Bock, David

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Andersson, Eva

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Frisén, Marianne

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

Abstract

Financial 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.

Suggested Citation

  • Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    • Handle: RePEc:hhs:gunsru:2007_008
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    File URL: http://hdl.handle.net/2077/8476
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    References listed on IDEAS

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    Cited by:

    1. Schiöler, Linus, 2009. "Explorative analysis of spatial patterns of influenza incidences in Sweden 1999—2008," Research Reports 2008:5, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    2. Schiöler, Linus & Frisén, Marianne, 2008. "On statistical surveillance of the performance of fund managers," Research Reports 2008:4, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    3. Andersson, Eva, 2008. "Hotelling´s T2 Method in Multivariate On-line Surveillance. On the Delay of an Alarm," Research Reports 2008:3, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    4. Bock, David & Pettersson, Kjell, 2007. "Explorative analysis of spatial aspects on the Swedish influenza data," Research Reports 2007:10, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    5. Bock, David, 2007. "Evaluations of likelihood based surveillance of volatility," Research Reports 2007:9, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.

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    More about this item

    Keywords

    Trading rules; Hidden Markov model; Filter rule; Moving average; Statistical surveillance;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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