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FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE
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| Zeitschriftentitel: | Journal of Business Economics and Management |
|---|---|
| Personen und Körperschaften: | , , |
| In: | Journal of Business Economics and Management, 17, 2016, 3, S. 365-380 |
| Format: | E-Article |
| Sprache: | Unbestimmt |
| veröffentlicht: |
Vilnius Gediminas Technical University
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| Schlagwörter: |
| author_facet |
STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida |
|---|---|
| author |
STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida |
| spellingShingle |
STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida Journal of Business Economics and Management FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE Economics and Econometrics Business, Management and Accounting (miscellaneous) |
| author_sort |
stádník, bohumil |
| spelling |
STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida 1611-1699 2029-4433 Vilnius Gediminas Technical University Economics and Econometrics Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.3846/16111699.2016.1184180 <jats:p>The research addressed the relevant question whether the Fourier analysis really provides practical value for investors forecasting stock market price. To answer this question, the significant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. The results were then compared to those of an agent operating chaotically. Moreover, the existing significant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the significant cycles resulting from the Fourier analysis. It has been concluded that the Fourier analysis basically failed. Suchlike failures are expected on similar data series. In addition, momentum and level trading backtests have been used in a similar way. It has been found that the level trading does provide a certain practical value in comparison to the momentum trading method. The research also simplifies the complicated theoretical background for practitioners.</jats:p> FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE Journal of Business Economics and Management |
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Journal of Business Economics and Management |
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| title |
FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_unstemmed |
FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_full |
FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
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FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
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FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_short |
FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
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fourier analysis for stock price forecasting: assumption and evidence |
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Economics and Econometrics Business, Management and Accounting (miscellaneous) |
| url |
http://dx.doi.org/10.3846/16111699.2016.1184180 |
| publishDate |
2016 |
| physical |
365-380 |
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<jats:p>The research addressed the relevant question whether the Fourier analysis really provides practical value for investors forecasting stock market price. To answer this question, the significant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. The results were then compared to those of an agent operating chaotically. Moreover, the existing significant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the significant cycles resulting from the Fourier analysis. It has been concluded that the Fourier analysis basically failed. Suchlike failures are expected on similar data series. In addition, momentum and level trading backtests have been used in a similar way. It has been found that the level trading does provide a certain practical value in comparison to the momentum trading method. The research also simplifies the complicated theoretical background for practitioners.</jats:p> |
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| author | STÁDNÍK, Bohumil, RAUDELIŪNIENĖ, Jurgita, DAVIDAVIČIENĖ, Vida |
| author_facet | STÁDNÍK, Bohumil, RAUDELIŪNIENĖ, Jurgita, DAVIDAVIČIENĖ, Vida, STÁDNÍK, Bohumil, RAUDELIŪNIENĖ, Jurgita, DAVIDAVIČIENĖ, Vida |
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| description | <jats:p>The research addressed the relevant question whether the Fourier analysis really provides practical value for investors forecasting stock market price. To answer this question, the significant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. The results were then compared to those of an agent operating chaotically. Moreover, the existing significant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the significant cycles resulting from the Fourier analysis. It has been concluded that the Fourier analysis basically failed. Suchlike failures are expected on similar data series. In addition, momentum and level trading backtests have been used in a similar way. It has been found that the level trading does provide a certain practical value in comparison to the momentum trading method. The research also simplifies the complicated theoretical background for practitioners.</jats:p> |
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| spelling | STÁDNÍK, Bohumil RAUDELIŪNIENĖ, Jurgita DAVIDAVIČIENĖ, Vida 1611-1699 2029-4433 Vilnius Gediminas Technical University Economics and Econometrics Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.3846/16111699.2016.1184180 <jats:p>The research addressed the relevant question whether the Fourier analysis really provides practical value for investors forecasting stock market price. To answer this question, the significant cycles were discovered using the Fourier analysis inside the price series of US stocks; then, the simulation of an agent buying and selling on minima and maxima of these cycles was made. The results were then compared to those of an agent operating chaotically. Moreover, the existing significant cycles were found using more precise methods, suggested in the research, and based on the results of an agent buying and selling on all possible periods and phases. It has been analysed whether these really existing cycles were in accordance with the significant cycles resulting from the Fourier analysis. It has been concluded that the Fourier analysis basically failed. Suchlike failures are expected on similar data series. In addition, momentum and level trading backtests have been used in a similar way. It has been found that the level trading does provide a certain practical value in comparison to the momentum trading method. The research also simplifies the complicated theoretical background for practitioners.</jats:p> FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE Journal of Business Economics and Management |
| spellingShingle | STÁDNÍK, Bohumil, RAUDELIŪNIENĖ, Jurgita, DAVIDAVIČIENĖ, Vida, Journal of Business Economics and Management, FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE, Economics and Econometrics, Business, Management and Accounting (miscellaneous) |
| title | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_full | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_fullStr | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_full_unstemmed | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_short | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| title_sort | fourier analysis for stock price forecasting: assumption and evidence |
| title_unstemmed | FOURIER ANALYSIS FOR STOCK PRICE FORECASTING: ASSUMPTION AND EVIDENCE |
| topic | Economics and Econometrics, Business, Management and Accounting (miscellaneous) |
| url | http://dx.doi.org/10.3846/16111699.2016.1184180 |