Title

A computational implementation of stock charting: abrupt volume increase as signal for movement in New York Stock Exchange Composite Index

Authors

Authors

W. Leigh; N. Modani;R. Hightower

Comments

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Abbreviated Journal Title

Decis. Support Syst.

Keywords

pattern recognition; financial decision support; market efficiency; technical analysis; stock market forecasting; TECHNICAL ANALYSIS; TRADING VOLUME; MARKETS; RETURNS; Computer Science, Artificial Intelligence; Computer Science, Information; Systems; Operations Research & Management Science

Abstract

In this case study in knowledge engineering, data mining, and behavioral finance, we implement a variation of the bull flag stock charting heuristic using a template matching technique from pattern recognition to identify abrupt increases in volume in the New York Stock Exchange Composite Index. Such volume increases are found to signal subsequent increases in price under certain conditions during the period from 1981 to 1999, the Great Bull Market. A 120-trading-day history of price and volume is used to forecast price movement at horizons from 20 to 100 trading days, (C) 2003 Elsevier B.V. All rights reserved.

Journal Title

Decision Support Systems

Volume

37

Issue/Number

4

Publication Date

1-1-2004

Document Type

Article

Language

English

First Page

515

Last Page

530

WOS Identifier

WOS:000221963500006

ISSN

0167-9236

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