Recursive singular spectrum analysis applied to the design of a trading system

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dc.creatorMichel Carlo Rodrigues Leles
dc.creatorAdriano S. Vale-Cardoso
dc.creatorMariana G. Moreira
dc.creatorElton F. Sbruzzi
dc.creatorCairo L. Nascimento
dc.creatorLeonardo A. Mozelli
dc.creatorHomero N. Guimaraes
dc.date.accessioned2025-05-07T13:54:01Z
dc.date.accessioned2025-09-09T00:47:27Z
dc.date.available2025-05-07T13:54:01Z
dc.date.issued2019
dc.identifier.doi10.1109/SYSCON.2019.8836955
dc.identifier.urihttps://hdl.handle.net/1843/82079
dc.languageeng
dc.publisherUniversidade Federal de Minas Gerais
dc.relation.ispartofInternational Systems Conference (SysCon)
dc.rightsAcesso Restrito
dc.subjectEconomia
dc.subject.otherTime series analysis , Oscillators , Market research , Spectral analysis , Matrix decomposition , Trajectory , Economics
dc.subject.otherTrading System , Singular Spectrum Analysis , Time Series , Online Application , Hybrid Feature , Popular Ones , Technical Indicators , Forgetting Factor , Eigenvectors , Matrix Elements , Singular Value , Singular Value Decomposition , Embedding Dimension , Trading Strategies , Market Movements , Reconstructed Time Series
dc.titleRecursive singular spectrum analysis applied to the design of a trading system
dc.typeArtigo de evento
local.citation.spage1
local.description.resumoSingular Spectrum Analysis (SSA) is a nonparametric approach that can be used to decompose a time series as trends, oscillations and noise. In online applications, the SSA algorithm must be recalculated for each new sample available. The so called Causal SSA have been used in this context. In this manuscript, an alternative version of online SSA, the Recursive SSA, is proposed as a technical indicator. Based on a “forgetting factor” parameter, it is possible to control the amount of previous samples that are used in the SSA algorithm. This functionality may confer adaptive and hybrid features, thereby providing a crucial characteristic to technical indicators. The Recursive SSA technical trading rules (SSA-TTR) are applied to the DJIA time-series and compared against popular technical indicators. The results show the advantages of SSA-TTR over the popular ones.
local.publisher.countryBrasil
local.publisher.departmentENG - DEPARTAMENTO DE ENGENHARIA ELETRÔNICA
local.publisher.initialsUFMG
local.url.externahttps://ieeexplore.ieee.org/document/8836955

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