Study on singular spectrum analysis as a new technical oscillator for trading rules design

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dc.creatorMichel Carlo Rodrigues Leles
dc.creatorLeonardo Amaral Mozelli
dc.creatorCairo Lúcio Nascimento Júnior
dc.creatorElton Felipe Sbruzzi
dc.creatorHomero Nogueira Guimarães
dc.date.accessioned2025-04-17T13:54:49Z
dc.date.accessioned2025-09-09T00:43:12Z
dc.date.available2025-04-17T13:54:49Z
dc.date.issued2018
dc.identifier.doihttps://doi.org/10.1142/S0219477518500347
dc.identifier.issn1793-6780
dc.identifier.urihttps://hdl.handle.net/1843/81693
dc.languageeng
dc.publisherUniversidade Federal de Minas Gerais
dc.relation.ispartofFluctuation and noise letters
dc.rightsAcesso Restrito
dc.subjectMercado financeiro
dc.subjectAnálise técnica
dc.subject.otherSingular spectrum analysis, stock markets, technical analysis
dc.titleStudy on singular spectrum analysis as a new technical oscillator for trading rules design
dc.typeArtigo de periódico
local.citation.issue4
local.citation.spage1850034
local.citation.volume17
local.description.resumoThe connection between Singular Spectrum Analysis (SSA) decomposition and short-term market movements is investigated. Since SSA is a non-parametric approach, suitable to decompose general time-series into meaningful components, such as trends, oscillations and noise, it is proposed as a new oscillator-type Technical Indicator, replacing popular ones. New Technical Trading Rules (TTRs) are designed and applied to some major global stock indexes to illustrate the benefits in terms of revealing market movements. The performance is evaluated according to different risk-adjustment metrics and the empirical results reveal that the SSA-TTRs may outperform some popular technical oscillators and also the Buy & Hold strategy.
local.publisher.countryBrasil
local.publisher.departmentENG - DEPARTAMENTO DE ENGENHARIA ELETRÔNICA
local.publisher.initialsUFMG
local.url.externahttps://www.worldscientific.com/doi/abs/10.1142/S0219477518500347?srsltid=AfmBOor0mP3lXHPHKge8oZb36ngBW3yHHKGhjRQihQDpv--bsoMmC-0E

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