Statistical Control Charts: Performances of Short Term Stock Trading in Croatia

Ksenija Dumicic and Žmuk Berislav ()
Additional contact information
Žmuk Berislav: Faculty of Economics and Business, University of Zagreb, Croatia

Business Systems Research, 2015, vol. 6, issue 1, 22-35

Abstract: Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it investigate the usage of statistical process control (SPC) methods into the stock trading process. Methods/Approach: The individual (I), exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control charts were used for gaining trade signals. The open and the average prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the analysis. The statistical control charts capabilities for stock trading in the short-run were analysed. Results: The statistical control chart analysis pointed out too many signals to buy or sell stocks. Most of them are considered as false alarms. So, the statistical control charts showed to be not so much useful in stock trading or in a portfolio analysis. Conclusions: The presence of non-normality and autocorellation has great impact on statistical control charts performances. It is assumed that if these two problems are solved, the use of statistical control charts in a portfolio analysis could be greatly improved.

Keywords: investments; statistical process control; exponentially weighted moving average (EWMA) control chart; cumulative sum (CUSUM) control chart (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/bsrj-2015-0002 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bit:bsrysr:v:6:y:2015:i:1:p:22-35

DOI: 10.1515/bsrj-2015-0002

Access Statistics for this article

Business Systems Research is currently edited by Mirjana Pejić Bach

More articles in Business Systems Research from Sciendo
Bibliographic data for series maintained by Peter Golla ().