Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy

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• 作者：Junjun Ma^a ; Xiong Xiong^a ; ^c ; Feng He^b ; ^a ; ^{feng_ac@163.com} ; Wei Zhang^a ; ^c
• 关键词：Intrinsic time ; Directional change ; Statistical property ; Trading strategy
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：169-180
• 全文大小：1380 K
• 卷排序：471

文摘

Analyze price movements of Chinese stock market using directional change method. There exists non-linear relationship between the number of DC event and θθ. Optimal θθ is affected by the estimation period both in length and market condition. The shorter estimation period the more sensitive between θθ and cumulative return. Middle and long term DC-based trading strategy can make profit in real market.