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| 6. |  | PRADO, H. A. do; MAGALHÃES, A. R.; FERNEDA, E. Reasoning about external environment from web sources. In: Knowledge-Based and Intelligent Information and Engineering Systems 13th International Conference, KES 2009, Santiago, Chile, September 28-30, 2009, Proceedings, Part II. 5712 348-355 (Lecture Notes in Computer Science -LNCS, volume 5712).| Biblioteca(s): Embrapa Unidades Centrais. |
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| 8. | | OLIVEIRA, S. R. de M.; CABRAL, M. I. C.; FERNEDA, E.; BRASILEIRO, M. A. G. ALLOS: a tool to solve markovian models. In: INTERNATIONAL CONFERENCE APPLIED MODELLING, SIMULATION AND OPTIMIZATION, 1995, Cancun, Mexico. Proceedings... Anaheim, CA: IASTED-Acta Press, 1995. p. 53-57.| Biblioteca(s): Embrapa Agricultura Digital. |
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| 13. | | PRADO, H. A. do; FERNEDA, E.; MORAIS, L. C. R.; LUIZ, A. J. B.; MATSURA, E. On the effectiveness of candlestick chart analysis for the Brazilian stock market. Procedia Computer Science, Valmiera, v. 22, p. 1136-1145, 2013. Edição de Proceedings of XVII International Conference on Knowledge-Based and Intelligent Information & Engineering Systems, Kitakyushu, 2013.| Biblioteca(s): Embrapa Meio Ambiente. |
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| 14. | | PRADO, H. A. do; FERNEDA, E.; ANQUETIL, N.; TEIXEIRA, E. D'A. Counselor, a data mining based time estimation for software maintenance. In: In: VELÁSQUEZ, J. D.; RÍOS, S. A.; HOWLETT, R. J.; JAIN, L., C. (Ed.). Knowledge-Based and Intelligent Information and Engineering Systems 13th International Conference, KES 2009, Santiago, Chile, September 28-30, 2009, Proceedings, Part II. 5712 p. 364-371 (Lecture Notes in Computer Science - LNCS, 5712).| Biblioteca(s): Embrapa Unidades Centrais. |
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| 15. | | OLIVEIRA, S. R. de M.; CABRAL, M. I. C.; FERNEDA, E.; BRASILEIRO, M. A. G. Conception and development of a tool to model and solve markovian models. In: INTERNATIONAL CONFERENCE OF THE CHILEAN COMPUTER SCIENCE SOCIETY, 15., 1995, Arica, Chile. Proceedings... Santiago: Sociedad Chilena de Ciencia de la Computacion, 1995. p. 351-360. Editado por Nivio Ziviani, Jose Piquer, Berthier Ribeiro e Ricardo Baeza-Yates.| Biblioteca(s): Embrapa Agricultura Digital. |
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| 16. | | CASTILHO, W. F.; LUCENA FILHO, G. J.; PRADO, H. A. do; FERNEDA, E.; AXT, M. A conceptual model for guiding the clustering analysis. In: INTERNATIONAL CONFERENCE ON KNOWLEDGE-BASED INTELLIGENT INFORMATION AND ENGINEERING SYSTEMS, 12., 2008, Zagreb, Croatia. Proceedings. New York: Springer-Verlag Berlin Heidelberg, 2008. (Lecture notes in computer science, 5178). pt. 2, p. 483-490.| Biblioteca(s): Embrapa Agroindústria de Alimentos. |
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 | Acesso ao texto completo restrito à biblioteca da Embrapa Meio Ambiente. Para informações adicionais entre em contato com cnpma.biblioteca@embrapa.br. |
Registro Completo
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Biblioteca(s): |
Embrapa Meio Ambiente. |
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Data corrente: |
17/01/2014 |
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Data da última atualização: |
04/01/2023 |
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Tipo da produção científica: |
Artigo em Periódico Indexado |
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Circulação/Nível: |
C - 0 |
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Autoria: |
PRADO, H. A. do; FERNEDA, E.; MORAIS, L. C. R.; LUIZ, A. J. B.; MATSURA, E. |
|
Afiliação: |
HERCULES ANTONIO DO PRADO, UCB; EDILSON FERNEDA, UCB; LUIS CARLOS R. MORAIS, UCB; ALFREDO JOSE BARRETO LUIZ, CNPMA; EDUARDO MATSURA, CORRETORA SOUZA BARROS. |
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Título: |
On the effectiveness of candlestick chart analysis for the Brazilian stock market. |
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Ano de publicação: |
2013 |
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Fonte/Imprenta: |
Procedia Computer Science, Valmiera, v. 22, p. 1136-1145, 2013. |
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Idioma: |
Inglês |
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Notas: |
Edição de Proceedings of XVII International Conference on Knowledge-Based and Intelligent Information & Engineering Systems, Kitakyushu, 2013. |
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Conteúdo: |
Abstract: Several techniques have been developed in pursuit of understanding the behavior of the financial market, in an attempt to predict the asset pricing behavior. The candlestick chart created in the 18th century is one of these techniques. In 2006, Greg Morris conducted a study on the effectiveness of this technique for the U.S. capital market. However, no similar work was done for the Brazilian market. In this paper, the behavior of part of the Brazilian capital market was studied using sixteen candlestick patterns. We considered the data series of ten stocks between 2005 and 2009, totaling approximately 40% of Ibovespa (São Paulo Stock Exchange Index) turnover. The frequency of confirmation of each pattern was measured along seven exchange sessions after occurrence of such pattern, and results were compared to those presented by Morris. Additionally, adjustments of the observed proportions of hits were tested for their statistical significance. Results found in the frequential analysis showed a discrepancy in relation to Morris\'s study. Likewise, in statistical analysis few patterns have confirmed the behavior expected of them. In at least one case the trend expressed by data, although significant, was contrary to the original interpretation of the pattern. Therefore, direct application of patterns developed for other markets, times or actions is not recommended. Such results do not allow for an affirmation that candlestick patterns have the power to predict future behavior of stocks traded in the Ibovespa stock market. However, we found statistically significant evidence of the predictive ability of some patterns, which may indicate that the technique must be adapted to the market where it is intended to be used. The main contributions of this paper are a partial replication of Morris? study for a set of stocks traded in the Brazilian market, and a statistical analysis of the effectiveness of candlestick patterns as predictors of the behavior of those stocks. MenosAbstract: Several techniques have been developed in pursuit of understanding the behavior of the financial market, in an attempt to predict the asset pricing behavior. The candlestick chart created in the 18th century is one of these techniques. In 2006, Greg Morris conducted a study on the effectiveness of this technique for the U.S. capital market. However, no similar work was done for the Brazilian market. In this paper, the behavior of part of the Brazilian capital market was studied using sixteen candlestick patterns. We considered the data series of ten stocks between 2005 and 2009, totaling approximately 40% of Ibovespa (São Paulo Stock Exchange Index) turnover. The frequency of confirmation of each pattern was measured along seven exchange sessions after occurrence of such pattern, and results were compared to those presented by Morris. Additionally, adjustments of the observed proportions of hits were tested for their statistical significance. Results found in the frequential analysis showed a discrepancy in relation to Morris\'s study. Likewise, in statistical analysis few patterns have confirmed the behavior expected of them. In at least one case the trend expressed by data, although significant, was contrary to the original interpretation of the pattern. Therefore, direct application of patterns developed for other markets, times or actions is not recommended. Such results do not allow for an affirmation that candlestick patterns have the power to predict future ... Mostrar Tudo |
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Palavras-Chave: |
Candlestick; Stock Market. |
|
Thesagro: |
Análise econômica; Análise estatística; Mercado. |
|
Thesaurus NAL: |
Prediction; Statistical analysis; Stock exchange. |
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Categoria do assunto: |
X Pesquisa, Tecnologia e Engenharia |
|
Marc: |
LEADER 02929naa a2200277 a 4500
001 1976525
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100 1 $aPRADO, H. A. do
245 $aOn the effectiveness of candlestick chart analysis for the Brazilian stock market.$h[electronic resource]
260 $c2013
500 $aEdição de Proceedings of XVII International Conference on Knowledge-Based and Intelligent Information & Engineering Systems, Kitakyushu, 2013.
520 $aAbstract: Several techniques have been developed in pursuit of understanding the behavior of the financial market, in an attempt to predict the asset pricing behavior. The candlestick chart created in the 18th century is one of these techniques. In 2006, Greg Morris conducted a study on the effectiveness of this technique for the U.S. capital market. However, no similar work was done for the Brazilian market. In this paper, the behavior of part of the Brazilian capital market was studied using sixteen candlestick patterns. We considered the data series of ten stocks between 2005 and 2009, totaling approximately 40% of Ibovespa (São Paulo Stock Exchange Index) turnover. The frequency of confirmation of each pattern was measured along seven exchange sessions after occurrence of such pattern, and results were compared to those presented by Morris. Additionally, adjustments of the observed proportions of hits were tested for their statistical significance. Results found in the frequential analysis showed a discrepancy in relation to Morris\'s study. Likewise, in statistical analysis few patterns have confirmed the behavior expected of them. In at least one case the trend expressed by data, although significant, was contrary to the original interpretation of the pattern. Therefore, direct application of patterns developed for other markets, times or actions is not recommended. Such results do not allow for an affirmation that candlestick patterns have the power to predict future behavior of stocks traded in the Ibovespa stock market. However, we found statistically significant evidence of the predictive ability of some patterns, which may indicate that the technique must be adapted to the market where it is intended to be used. The main contributions of this paper are a partial replication of Morris? study for a set of stocks traded in the Brazilian market, and a statistical analysis of the effectiveness of candlestick patterns as predictors of the behavior of those stocks.
650 $aPrediction
650 $aStatistical analysis
650 $aStock exchange
650 $aAnálise econômica
650 $aAnálise estatística
650 $aMercado
653 $aCandlestick
653 $aStock Market
700 1 $aFERNEDA, E.
700 1 $aMORAIS, L. C. R.
700 1 $aLUIZ, A. J. B.
700 1 $aMATSURA, E.
773 $tProcedia Computer Science, Valmiera$gv. 22, p. 1136-1145, 2013.
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