Browse > Article

A note for hybrid Bollinger bands  

Rhee, Jung-Soo (Department of Mathematics, Pusan University of Foreign Studies)
Publication Information
Journal of the Korean Data and Information Science Society / v.21, no.4, 2010 , pp. 777-782 More about this Journal
Abstract
We introduce some techniques to decompose the impulse (the unit sample) into several dilated pieces in the discrete time domain. From the decomposition of the impulse, we obtain localized moving averages. Thus we construct hybrid Bollinger bands that may give various strategies for stock traders. By simulations, we report that more than 94% of stock prices of companies in KOSPI 200 are inside this hybrid Bollinger band.
Keywords
Bollinger bands; impulse; localized moving averages;
Citations & Related Records
Times Cited By KSCI : 5  (Citation Analysis)
연도 인용수 순위
1 Lim, J. (1990). Two-dimensional signal and image processing, Upper Saddle River NJ: Prentice Hall.
2 Liu, W., Huang, X. and Zhang, W. (2006). Black-Scholes' model and Bollinger bands. Physica A, 371, 565-571.   DOI   ScienceOn
3 Oppenheim, A. V., Willsky, A. S. and Nawab S. H. (1997). Signals & systems, Prentice-Hall International, INC.
4 Pak, R. J. (2003). Moving averages based on robust statistical analysis. Journal of Korean Data & Information Science Society, 14, 471-479.   과학기술학회마을
5 Park, I. C., Kwon, O. J. and Kim, T. Y. (2009). KOSPI directivity forecasting by time series model. Journal of Korean Data & Information Science Society, 20, 991-998.   과학기술학회마을
6 Rachev, S. T., Menn, C. and Fabozzi, F. J. (2005). Fat tailed and skewed asset return distribution: Impli- cation for risk management, portfolio selection and option pricing, John Wiley, New York.
7 Rhee, J. (2010). Certain radially dilated convolution and its application. Honam Mathematical Journal, 32, 101-112.   DOI
8 Lee, S. C. and Oh, C. H. (2007). A smoothing method for stock price prediction with hidden Markov models. Journal of Korean Data & Information Science Society, 18, 945-953.   과학기술학회마을
9 Bollinger, J. (2002). Bollinger on Bollinger bands, McGraw Hill, New York.
10 Kim, K., Cho, M. and Park, E. (2008). Forecasting the volatility of KOSPI 200 using data mining. Journal of Korean Data & Information Science Society, 19, 1305-1325.   과학기술학회마을