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Filtering tools in financial market trading: from moving average to empirical mode decomposition.

技術分析包括圖表分析和技術指標分析。比較兩者,前者偏於主觀,並且解讀方式不一,而後者卻能用科學方法來考量。本研究論文先分析市場上流行的技術指標,移動平均線。交易員觀測兩條不同日數的移動平均線,從兩線相交處尋找進出市場的時機。從領域來看,兩條不同日數的移動平均線之差屬於一種帶通濾波器。本文將解釋帶通濾波器與市場進出規則之間的關係。除了移動平均線這種線性方法,我們同時考慮非線性的訊號處理工具。特別地,本研究採用近代提出的經驗模態分解法,得出類似移動平均線相交法的一種新交易策略。我們將文中提及的方法應用在香港及中國過去五年的股票市場,並給出數值結果以顯其效。 / Technical analysis includes chart pattern reading and stock market indicators. While the former is subjective and open to different interpretations, the latter is quantied in a more scientic way. The moving average, a popular market indicator, will be analyzed in this thesis. Traders monitor the crossovers of two moving averages with different durations to nd market entry timings. From the viewpoint of frequency domain, the difference of two such moving averages is found to be a band-pass filter. The relation between band-pass filter and market entry strategy is explained. Apartfrom linear methods such as the moving average,non linear signal processing tool is also studied. In particular,the modern empirical mode decomposition is applied to derive a new trading strategy similar to the moving average crossover rule. The introduced methods are put to the test in the Hong Kong and Chinese stock markets for the last five years. Numerical results are presented to show the performance of the methods. / Detailed summary in vernacular field only. / Lee, Tsz Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 64-66). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.7 / Chapter 2 --- Linear Filters --- p.11 / Chapter 2.1 --- Introduction --- p.11 / Chapter 2.2 --- Frequency response --- p.13 / Chapter 2.3 --- Recursive filters --- p.16 / Chapter 2.4 --- Convolution theorem --- p.20 / Chapter 3 --- Momentum Indicators --- p.23 / Chapter 3.1 --- Introduction --- p.23 / Chapter 3.2 --- Momentum indicators --- p.24 / Chapter 3.3 --- Crossover of two moving averages --- p.25 / Chapter 3.4 --- MACD and acceleration indicators --- p.27 / Chapter 4 --- Profitability of Momentum Indicators --- p.33 / Chapter 4.1 --- Introduction --- p.33 / Chapter 4.2 --- Trading methodology --- p.34 / Chapter 4.3 --- Evaluating the performance --- p.36 / Chapter 4.4 --- Results of evaluation --- p.39 / Chapter 5 --- Empirical Mode Decomposition --- p.45 / Chapter 5.1 --- Introduction --- p.45 / Chapter 5.2 --- Instantaneous frequency --- p.46 / Chapter 5.3 --- Empirical mode decomposition --- p.47 / Chapter 5.4 --- Trading methodology --- p.50 / Chapter 5.5 --- Results of evaluation --- p.52 / Chapter 6 --- Discussions --- p.57 / Chapter A Descriptive Statistics and Additional Numerical Results --- p.60 / Bibliography --- p.64

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_328606
Date January 2012
ContributorsLee, Tsz Ho., Chinese University of Hong Kong Graduate School. Division of Mathematics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatelectronic resource, electronic resource, remote, 1 online resource (66 leaves) : ill.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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