Verification of the Precious Metals Market Effectiveness – Gold and Silver
Krzysztof Piasecki , Michał Stasiak
AbstractThe 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.
|Publication size in sheets||0.5|
|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 Polish||efektywność rynku, ekonometria wysokich częstotliwości, analiza techniczna, system wspomagania decyzji|
|Keywords in English||market effectiveness;high frequency econometric;technical analysis;investment decision support|
|Score||= 5.0, 23-04-2020, ChapterFromConference|
|Citation count*||1 (2020-09-18)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.