The influence of investor's behavioral biases on the usefulness of the dual moving average crossovers

Kotaro Miwa, Kazuhiro Ueda

研究成果: Contribution to journalArticle査読

3 被引用数 (Scopus)

抄録

The so called Dual Moving Average Crossovers are said to be useful signals for forecasting trends of stock prices, as one of the technical analysis methods. First, we examined the usefulness of these crossovers by using historical daily closing price data and tick by tick price data of Japanese stocks. The results revealed that these crossovers were useful as confirmatory signals for forecasting market trends. Second, we tried to identify the underlying reasons for the usefulness of the crossovers. A model, which followed the Efficient Market Hypothesis, was found to fail to generate the price fluctuation where the crossovers were useful. We then developed a model that incorporated investor's suspicion about current price validity and two famous behavioral biases: conservativeness and representativeness. We identified the mechanism that those crossovers were closely related to investor's suspicion and the behavioral biases.

本文言語英語
ページ(範囲)67-75
ページ数9
ジャーナルNew Generation Computing
23
1
DOI
出版ステータス出版済み - 2005
外部発表はい

All Science Journal Classification (ASJC) codes

  • ソフトウェア
  • 理論的コンピュータサイエンス
  • ハードウェアとアーキテクチャ
  • コンピュータ ネットワークおよび通信

フィンガープリント

「The influence of investor's behavioral biases on the usefulness of the dual moving average crossovers」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル