The Effectiveness of the Automatic System of Fuzzy Logic-Based Technical Patterns Recognition: Evidence from Tehran Stock Exchange
Journal Title: Advances in Mathematical Finance and Applications - Year 2019, Vol 4, Issue 3
Abstract
The present research proposes an automatic system based on moving average (MA) and fuzzy logic to recognize technical analysis patterns including head and shoulder patterns, triangle patterns and broadening patterns in the Tehran Stock Exchange. The automatic system was used on 38 indicators of Tehran Stock Exchange within the period 2014-2017 in order to evaluate the effectiveness of technical patterns. Having compared the conditional distribution of daily returns under the condition of the discovered patterns and the unconditional distribution of returns at various levels of confidence driven from fuzzy logic with the mean returns of all normalized market indicators, we observed that in the desired period, after recognizing the pattern, all patterns investigated at the confidence level 0.95 with a fuzzy point 0.5 contained useful information, practically leading to abnormal returns.
Authors and Affiliations
Abdolmajid Abdolbaghi Ataabadi, Sayyed Mohammad Reza Davoodi, Mohammad Salimi Bani
Keywords
Related Articles
- EP ID EP658576
- DOI 10.22034/amfa.2019.585179.1185
- Views 47
- Downloads 0
Investigating the Effect of Profitability and Operating Cash Flow on Trademarks Value
In the recent years, intangible assets and corporate brand have found a significant importance for corporates. These assets are accounted as essential for value making and even stabilizing the continuation of corporate t...
ANN-DEA Approach of Corporate Diversification and Efficiency in Bursa Malaysia
There is little consensus on the corporate diversification-efficiency relationship in the diversification literature. According to the corporate diversification, firms have a tendency to get more market share with divers...
Evaluation of the association between company performance and Iran’s stock market liquidity
This research studies the companies’ effectiveness and performance relationship with stock market liquidity in Tehran Stock Exchange during 2010-2015. Simultaneously, in the study, the three indicators: return on assets,...
Developing a Paradigm for Fair Valuation in Tehran Stock Exchange
The concept of value is of great importance for investors. The goal of different groups of investors is always to maximize the value of their capital. The aim of this research is developing factors effective on securitie...
According to Agency Theory and Neoclassical Theory; New Ownership and Diversity of Public Sector Companies in Corporate Life Cycle
The purpose of this study is investigating and determining rate of seizing assets and acquisition other companies by public sector companies. We estimate this rate at various stages of the life cycle of the company. Ther...