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.