1,720,993 research outputs found
Mathe
No full textThe focus of this contribution is to propose an improvement of technical analysis now widely used by many traders. The point is that a huge number of indicators and oscillators has been proposed in the literature but they do not always provide the same signals on a market trend reversal. Furthermore, it is well known that each indicator or oscillator depends on some parameters that are often selected in a subjective way. We are interested to propose a less subjective trading strategy. In this framework two problems arise: on one hand we have to find the weighted combination of the different indicators in order to provide the best possible signal, on the other hand we have to select the best setting of indicators’ and oscillators’ parameters. In other words we have to tackle an optimization problem that implies the conjoint choice of the parameters characterizing indicators and oscillators and of the associated weights providing a single signal
Le radici unitarie nell'analisi delle serie storiche: una proposta di funzione test per l'applicazione ai metodi di permutazione
No full textRapporto di Ricerca, Dipartimento di Statistica, Università Ca' Foscar
La statistica applicata attraverso l'uso del programma R
No full textRedazioni Provvisorie, Dipartimento di Statistica, Università Ca' Foscar
The statistical combination procedure in measures for risk in financial systems
Full text linkIn the literature of risk analysis different synthetic indices are built on the bases of some indicators and in this work we propose to use, alternatively to PCA, a combination statistical procedure. The univariate indices that we use are those proposed by V-lab using a nonparametric combination of dependent rankings. The combination technique may also be considered to perform nonparametric inference, suitable to the treatment of non gaussian distributions as in the case of indices. So we propose to highlight systemic risk in a network of companies performing a nonparametric test to reveal heterogeneity behaviour; in this case the rankings may be used to create different behavioural groups
Test non parametrico per individuare la non linearità nelle serie storiche
No full textRapporti di Ricerca, Dipartimento di Statistica, Università Ca' Foscar
Dal problema alla soluzione. Guida pratica per principianti alla programmazione in R
No full textIn un mondo in rapida evoluzione tecnologica è estremamente importante comprendere e adattarsi ai cambiamenti delle tecnologie computazionali e informatiche. Il principale obiettivo del testo è quello di fornire le basi per sviluppare alcune soft skill che aiutano a formalizzare algoritmi necessari per risolvere problemi. La programmazione diventa quindi utile per sviluppare tali competenze e a tal fine è stato scelto di usare come strumento il software R
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