Verification of the Precious Metals Market Effectiveness – Gold and Silver

Krzysztof Piasecki , Michał Stasiak

Abstract

The requirement for using technical analysis and for constructing algorithmic trading system based on it, is the assumption about possible dependencies between historical data and the future direction of a rate change. Making this kind of assumption leads to rejecting the hypothesis of market effectiveness. In the article a verification method for the assumption is presented for the case of precious metals –gold and silver. The base of proposed method is statistical testing performed on the binary course representation, which is more precise than the candlestick representation. The article also presents an analysis of obtained results in terms of possible construction of HFT systems.
Author Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
, Michał Stasiak (WZ / KIiN)
Michał Stasiak,,
- Department of Investment and Real Estate
Pages1-9
Publication size in sheets0.5
Book Jedlička Pavel, Firlej Krzysztof, Marešová Petra, Soukal Ivan (eds.): Hradec Economic Days : Double-blind Peer Reviewed Proceedings of the International Scientific Conference Hradec Economic Days 2020, Hradec Economic Days, vol. 10, 2020, University of Hradec Králové, ISBN 9788074357763, 906 p.
Keywords in Polishefektywność rynku, ekonometria wysokich częstotliwości, analiza techniczna, system wspomagania decyzji
Keywords in Englishmarket effectiveness;high frequency econometric;technical analysis;investment decision support
DOIDOI:10.36689/uhk/hed/2020-01-070
URL http://hdl.handle.net/20.500.12603/271
Languageen angielski
Score (nominal)5
Score sourcepublisherList
ScoreMinisterial score = 5.0, 23-04-2020, ChapterFromConference
Citation count*1 (2020-09-18)
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