Classifying Market States with WARS
نویسندگان
چکیده
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.
منابع مشابه
Female Suicide and Labor Markets: A Disaggregated Panel Analysis of the Link between Labor Market Conditions and Female Suicides in the United States (1979- 2004)
Suicide is a well-known public health problem in the United States. Macroeconomic conditions, among many other factors, because of their impacts on psychological well-being of individuals, are thought to be linked to suicide attempts. However, previous research on the relationship between suicide rates and macroeconomic conditions, especially that of labor market conditions, has resulted into a...
متن کاملStock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain
The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...
متن کاملStochastic Market Sharing, Partial Communication and Collusion
This paper analyzes the role of communication between firms in an infinitely repeated Bertrand game in which firms receive an imperfect private signal of a common value i.i.d. demand shock. It is shown that firms can use stochastic, inter-temporal market sharing as a perfect substitute for communication in low demand states. Therefore, partial communication in high demand states is sufficient t...
متن کامل0 . Stochastic Market Sharing , Partial Communication and Collusion
This paper analyzes the role of communication between firms in an infinitely repeated Bertrand game in which firms receive an imperfect private signal of a common value i.i.d. demand shock. It is shown that firms can use stochastic, inter-temporal market sharing as a perfect substitute for communication in low demand states. Therefore, partial communication in high demand states is sufficient t...
متن کاملIntentional Price Wars on the Equilibrium Path
In this paper we study the effect of information on the occurrence of intentional price wars on the equilibrium path. An episode of low prices is an intentional price war if it follows a period of high prices which was ended intentionally by one of the firms in the market (the price war leader). We show that for intentional price wars to exist on the equilibrium path, two elements are necessary...
متن کامل