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

    Authors

    W. Leigh; N. Modani;R. Hightower

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    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

    Share

    COinS