Reaction trend system with GARCH quantiles as action points

作者：

Highlights：

• A new automatic system based on the volatility model, called RTS-GARCH, is proposed.

• Volatility is estimated using a bivariate GARCH model.

• Tests on different assets demonstrate potential for generalisation.

• Comparisons with previous works show superior results in almost all cases.

摘要

•A new automatic system based on the volatility model, called RTS-GARCH, is proposed.•Volatility is estimated using a bivariate GARCH model.•Tests on different assets demonstrate potential for generalisation.•Comparisons with previous works show superior results in almost all cases.

论文关键词：Technical analysis,Wilder’s trading strategies,Statistical volatility model,prediction of price intervals

论文评审过程：Received 9 March 2021, Revised 22 February 2022, Accepted 23 February 2022, Available online 5 March 2022, Version of Record 22 March 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.116750