Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading

Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading

The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control char...

Full description

Bibliographic Details
Main Author: Žmuk Berislav
Format: Article
Language:English
Published: Sciendo 2016-03-01
Series:Naše Gospodarstvo
Subjects:
zagreb stock exchange
investments
statistical process control
autocorrelation
residual-based control charts
c22
c40
g11
Online Access:https://doi.org/10.1515/ngoe-2016-0002
id doaj-b20c0d4716f94e688dd12ba93fd9b1c7
record_format Article
spelling doaj-b20c0d4716f94e688dd12ba93fd9b1c72021-09-06T19:21:04ZengSciendoNaše Gospodarstvo2385-80522016-03-01621122610.1515/ngoe-2016-0002ngoe-2016-0002Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock TradingŽmuk Berislav0Faculty of Economics and Business, University of Zagreb, CroatiaThe aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.https://doi.org/10.1515/ngoe-2016-0002zagreb stock exchangeinvestmentsstatistical process controlautocorrelationresidual-based control chartsc22c40g11
collection DOAJ
language English
format Article
sources DOAJ
author Žmuk Berislav
spellingShingle Žmuk Berislav
Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
Naše Gospodarstvo
zagreb stock exchange
investments
statistical process control
autocorrelation
residual-based control charts
c22
c40
g11
author_facet Žmuk Berislav
author_sort Žmuk Berislav
title Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
title_short Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
title_full Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
title_fullStr Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
title_full_unstemmed Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading
title_sort capabilities of statistical residual-based control charts in short- and long-term stock trading
publisher Sciendo
series Naše Gospodarstvo
issn 2385-8052
publishDate 2016-03-01
description The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.
topic zagreb stock exchange
investments
statistical process control
autocorrelation
residual-based control charts
c22
c40
g11
url https://doi.org/10.1515/ngoe-2016-0002
work_keys_str_mv AT zmukberislav capabilitiesofstatisticalresidualbasedcontrolchartsinshortandlongtermstocktrading
_version_ 1717775329002520576

Similar Items