Identification of short term Fast-Slow patterns using the Nasdaq-100 future through a technical analysis application [Identificación de patrones Fast-Slow de corto plazo empleando el futuro del Nasdaq-100 a través de una aplicación de análisis técnico]

Vista sencilla de ítem
dc.contributor.affiliationMontes-Gómez, L.F., Universidad de Medellín, Facultad de Ingenierías, Medellín, Colombia
dc.contributor.affiliationGúzman-Aguilar, D.S., Universidad de Medellín, Facultad de Ingenierías, Medellín, Colombia
dc.contributor.affiliationPinzon-Sanchez, L.A., Universidad de Medellín, Facultad de Ingenierías, Medellín, Colombia
dc.contributor.authorMontes-Gómez, L.F.
dc.contributor.authorGúzman-Aguilar, D.S.
dc.contributor.authorPinzon-Sanchez, L.A.
dc.date.accessioned2024-12-27T20:52:12Z
dc.date.available2024-12-27T20:52:12Z
dc.date.issued2024
dc.descriptionIn recent decades, the analysis of atypical behavior in asset prices has become relevant, since participants in financial markets recognize that the idea of perfect markets is distanced from reality. The purpose of this research is to present a trading strategy through the identification of short-term chart patterns, based on anomalies in the future price of the Nasdaq-100 index. The historical backtesting methodology will be used in the technical analysis of the asset to quantify the performance of the identified patterns. It will be verified that the anomalies in the stock index are not temporary; rather, they persist and recur on a recurring basis, especially in intraday events. Additionally, the best performing trading session will be determined. This work will provide retail traders with trading guidelines to approach the markets with a statistically profitable strategy. © 2024, Universidad Nacional de Colombia. All rights reserved.
dc.identifier.doi10.15446/dyna.v91n233.113736
dc.identifier.instnameinstname:Universidad de Medellínspa
dc.identifier.issn127353
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellínspa
dc.identifier.repourlrepourl:https://repository.udem.edu.co/
dc.identifier.urihttp://hdl.handle.net/11407/8722
dc.language.isoeng
dc.publisherUniversidad Nacional de Colombiaspa
dc.publisher.facultyFacultad de Ingenieríasspa
dc.publisher.programIngeniería Financieraspa
dc.relation.citationendpage103
dc.relation.citationissue233
dc.relation.citationstartpage94
dc.relation.citationvolume91
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85205513362&doi=10.15446%2fdyna.v91n233.113736&partnerID=40&md5=77e53103fcdeee6cb777840f11c16910
dc.relation.referencesFarias Nazário, R.T., Lima e Silva, J., Amorim Sobreiro, V., Kimura, H., A literature review of technical analysis on stock markets (2017) Quarterly Review of Economics and Finance, 66, pp. 115-126. , https://doi.org/10.1016/j.qref.2017.01.014
dc.relation.referencesEdwards, R.D., Magee, J., Bassetti, W.H.C., (2018) Technical Analysis of Stock Trends, , Taylor &amp
dc.relation.referencesFrancis Group (ed). 11th ed
dc.relation.referencesGrossman, S.J., Stiglitz, J.E., On the impossibility of informationally efficient markets (1980) The American Economic Review, 70 (3), pp. 393-408. , https://www.jstor.org/stable/1805228, [online]
dc.relation.referencesFama, E.F., Efficient capital markets: a review of theory and empirical work (1970) The Journal of Finance, 25 (2), pp. 383-417. , https://doi.org/https://doi.org/10.2307/2325486
dc.relation.referencesAkbas, F., Armstrong, W.J., Sorescu, S., Subrahmanyam, A., Smart money, dumb money, and capital market anomalies (2015) Journal of Financial Economics, 118 (2), pp. 355-382. , https://doi.org/10.1016/j.jfineco.2015.07.003
dc.relation.referencesZaremba, A., Nikorowski, J., Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe (2019) Economic Research-Ekonomska Istrazivanja, 32 (1), pp. 403-422. , https://doi.org/10.1080/1331677X.2018.1545593
dc.relation.referencesLi, Y., Zhao, C., Zhong, Z., Price discrimination against retail investors: evidence from mini options (2019) Journal of Banking and Finance, 106, pp. 50-64. , https://doi.org/10.1016/j.jbankfin.2019.05.012
dc.relation.referencesLoughran, T., Linguistic tone and the small trader: measurement issues, regulatory implications, and directions for future research (2018) Accounting, Organizations and Society, 68–69, pp. 38-41. , https://doi.org/10.1016/j.aos.2018.03.001
dc.relation.referencesLatif, M., Arshad, S., Fatima, M., Farooq, S., Market efficiency, market anomalies, causes, evidences, and some behavioral aspects of market anomalies (2011) Research Journal of Finance and Accounting, 2 (9), pp. 1-13
dc.relation.referencesKuhn, T.S., The structure of scientific revolutions (1963) American Journal of Physics, 31 (7), pp. 554-555. , https://doi.org/10.1119/1.1969660
dc.relation.referencesTversky, A., Kahneman, D., Rational choice and the framing of decisions (1986) The Journal of Business, 59 (4), pp. 251-278. , https://doi.org/10.1086/296365
dc.relation.referencesTua-Pereda, J., (1991) La investigación empírica en contabilidad. La hipótesis de eficiencia del mercado, , (Ministerio de Hacienda-Secretaría General Técnica-SGIDP. 1ra ed). Instituto de Contabilidad y Auditoria de Cuentas
dc.relation.referencesGultekin, M.N., Gultekin, N.B., Stock Market Seasonality International Evidence
dc.relation.references(1983) Journal of Financial Economics, 12, pp. 469-481. , https://doi.org/10.1016/0304-405X(83)90044-2
dc.relation.referencesAriel, R.A., A monthly effect in stock returns (1987) Journal of Financial Economics, 18 (1), pp. 161-174. , https://doi.org/10.1016/0304-405x(87)90066-3
dc.relation.referencesAgrawal, A., Tandon, K., Anomalies or illusions? Evidence from stock markets in eighteen countries (1994) Journal of International Money and Finance, 13 (1), pp. 83-106. , https://doi.org/10.1016/0261-5606(94)90026-4
dc.relation.referencesSmirlock, M., Starks, L., Day-of-the-week and intraday effects in stock returns (1986) Journal of Financial Economics, 17 (1), pp. 197-210. , https://doi.org/10.1016/0304-405X(86)90011-5
dc.relation.referencesBrock, W., Lakonishok, J., LeBaron, B., Simple Technical trading rules and the stochastic properties of stock returns (1992) Journal of Finance, 47 (5), pp. 1731-1764. , https://doi.org/10.1111/j.1540-6261.1992.tb04681.x
dc.relation.references(2018) NDX vs SPX, , https://www.nasdaq.com/articles/ndx-vs-spx-2018-07-02, (July 2)
dc.relation.referencesBailey, D.H., Borwein, J.M., López de Prado, M., Zhu, Q. J., Pseudo-mathematics and financial charlatanism: the effects of backtest overfitting on out-of-sample performance (2014) Notices of the American Mathematical Society, 61 (5), pp. 458-471. , https://doi.org/10.1090/noti1105
dc.relation.referencesTolun-Tayalı, S., A novel backtesting methodology for clustering in mean–variance portfolio optimization (2020) Knowledge-Based Systems, 209, p. 106454. , https://doi.org/10.1016/j.knosys.2020.106454, art
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.sourceDYNA (Colombia)
dc.sourceDYNA
dc.sourceScopus
dc.subjectFutures marketeng
dc.subjectMarket anomalieseng
dc.subjectNasdaq-100eng
dc.subjectTechnical analysiseng
dc.titleIdentification of short term Fast-Slow patterns using the Nasdaq-100 future through a technical analysis application [Identificación de patrones Fast-Slow de corto plazo empleando el futuro del Nasdaq-100 a través de una aplicación de análisis técnico]eng
dc.typeArticle
dc.type.localArtículo de revistaspa
dc.type.versioninfo:eu-repo/semantics/publishedVersion

Archivos

Colecciones

Indexados Scopus