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

• Authors: Ksenija Dumičić , Berislav Žmuk
• Languages of publication: EN

Abstracts

EN

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

EN

investments; statistical process control; exponentially weighted moving average (EWMA) control chart; cumulative sum (CUSUM) control chart

• Publisher: Sciendo
• Journal: Business Systems Research Journal
• Year: 2015
• Volume: 6
• Issue: 1
• Pages: 22-35

Dates

published

2015-03-01

accepted

2015-03-10

online

2015-05-09

received

2015-12-20

Contributors

author

Ksenija Dumičić

• Faculty of Economics and Business, University of Zagreb, Croatia

author

Berislav Žmuk

• Faculty of Economics and Business, University of Zagreb, Croatia

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Identifiers

DOI

10.1515/bsrj-2015-0002