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EMA versus SMA Usage to Forecast Stock Markets: The Case of S&P 500 and OMX Baltic Benchmark

Business: Theory and Practice

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Title EMA versus SMA Usage to Forecast Stock Markets: The Case of S&P 500 and OMX Baltic Benchmark
Eksponentinio ir paprasto slankiojo vidurkio naudojimo lyginimas prognozuojant akcijų rinkas: S&P 500 ir OMX Baltic Benchmark atvejis
 
Creator Dzikevičius, Audrius
Šaranda, Svetlana
 
Subject technical Analysis; Simple Moving Average; Exponential Moving Average; bias; S&P 500; OMX Baltic Benchmark; forecast; stock
techninė analizė; paprastas slankusis vidurkis; eksponentinis slankusis vidurkis; paklaida; S&P 500; OMX Baltic Benchmark; prognozė; akcija
 
Description The academic literature is showing a growing interest in such trading rules as Moving Average. The majority of researches were made using simple moving average. Although semi-professional traders use the technical analysis methods to predict the future stock prices, to identify the stock trend changes, OMX Baltic Benchmark Index was never tested. Previous researches on the S&P 500 Index using the most widely used method of technical analysis – Moving Averages are more or less appellative. Technical analysis is opponent to classical economic theory but investors use it widely all over the world. Technical Analysis methods can be less or more effective than it was thought until nowadays. This paper compares 2 trading rules of technical analysis – exponential smoothing method and simple moving average rule. Both methods were applied to US index S&P 500 and OMX Baltic Benchmark Index and the results were compared using systematic error (mean square error, the mean absolute deviation, mean forecast error, the mean absolute percentage error) and tracking signal evaluation, bias distribution estimation and appropriate Constanta level finding for each market forecast: the case of Standard and Poor’s 500 and OMX Baltic Benchmark Index. 
Straipsnyje nagrinėjamos plačiai investuotojų bendruomenės taikomos prekybos taisyklės – paprastas dviejų dienų slankusis vidurkis ir eksponentinis vidurkis. Užsienio moksliniuose darbuose vis daugiau dėmesio skiriama šiai temai, tačiau Lietuvoje niekuomet nebuvo tiriamos galimybės prognozuoti Baltijos šalių akcijų rinkų indeksus taikant šiuos metodus. Atliekant tyrimus, buvo naudojami S&P 500 indekso ir OMX Baltic Benchmark indekso duomenys. Abu metodai buvo lyginami tarpusavyje taikant bendrą paklaidų sistemų metodiką. Buvo tikrinamas prognozės tikslumo lygmuo įvertinant vidutines kvadratines paklaidas, vidutines absoliučiąsias paklaidas, vidutines prognozavimo paklaidas, vidutines absoliučiąsias paklaidas ir sekimo signalą kaip prognozės naujų duomenų adekvatumo įvertinimą. Atlikus tyrimus, paaiškėjo metodas, kuris turi būti taikomas prognozuojant ateities indekso vertes, ir šio metodo tinkamumas kiekvienai iš pasirinktų rinkų – Lietuvos ir JAV. 
 
Publisher Verslas: Teorija ir Praktika / Business: Theory and Practice
Business: Theory and Practice / Verslas: Teorija ir Praktika
 
Date 2011-01-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
application/pdf
 
Identifier http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.27
10.3846/btp.2010.27
 
Source Verslas: Teorija ir Praktika / Business: Theory and Practice; Vol 11, No 3 (2010); 248-255
Business: Theory and Practice / Verslas: Teorija ir Praktika; Vol 11, No 3 (2010); 248-255
 
Relation http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.27/28
http://www.btp.vgtu.lt/index.php/btp/article/view/btp.2010.27/pdf
 
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