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Classifying market states with WARS

机译:用战争分类市场国家

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摘要

In this paper, a new indicator -WARS (Weighted Accumulated Reconstruction Series) at classifying the state of financial market, either trending state or mean-reverting state, was presented. Originated from the computation of Entropy, this new indicator was found to be able to reflect the market behavior accurately and easily. The algorithm of generating WARS and its meaning related to Entropy were introduced and some comparison results between WARS and the Daily Profit Curve were listed. As a new indicator, WARS also can be used to build a trading system - to provide buy, sell and hold signals. Through the application on S&P 500 index, it was verified to be effective and was a promising indicator.
机译:在本文中,提出了一种在分类金融市场状态,趋势状态或卑鄙状态的新指标-wars(加权累积重建系列)。源自熵的计算,发现这一新指标能够准确,轻松地反映市场行为。引入了产生战争的算法及其与熵相关的含义,并列出了战争与日常利润曲线之间的一些比较结果。作为一个新的指标,战争也可用于建立交易系统 - 提供购买,销售和保持信号。通过在标准普尔500指数上的申请,验证有效,是一个有希望的指标。

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