Summary
International Symposium on Nonlinear Theory and Its Applications
2016
Session Number:C2L-E
Session:
Number:C2L-E-1
Technical Trading Strategy Using Reactions to Stock Price Jumps
Tokimaru Tsuruta, Tomoya Suzuki,
pp.-
Publication Date:2016/11/27
Online ISSN:2188-5079
Summary:
As a technical indicator, the BPV ratio has been proposed to dynamically detect market price jumps. In the present study, we first confirmed the existence of an anomaly in Japanese and American stock markets where stock price movements are often biased to react on price jumps. Next, we applied this anomaly to decide the dealing position (long or short) by foreseeing this biased reaction of a price movement. Finally, we confirmed the efficiency of this trading strategy through some investment simulations, and also confirmed the validity of the decided dealing positions and their timings by bootstrap statistical tests.