A computational implementation of stock charting: abrupt volume increase as signal for movement in New York stock exchange composite index

Authors:
William Leigh;Naval Modani;Ross Hightower
Affiliations:
Department of Management Information Systems, College of Business Administration, University of Central Florida, PO Box 161400, Orlando, FL;Department of Finance, College of Business Administration, University of Central Florida, Orlando, FL;Department of Finance, College of Business Administration, University of Central Florida, Orlando, FL
Venue:
Decision Support Systems - Special issue: Data mining for financial decision making
Year:
2004

Citing 0
Cited 11

Stock market trading rule discovery using pattern recognition and technical analysis

Expert Systems with Applications: An International Journal
Knowledge discovery in financial investment for forecasting and trading strategy through wavelet-based SOM networks

Expert Systems with Applications: An International Journal
Implementation and validation of an opportunistic stock market timing heuristic: One-day share volume spike as buy signal

Expert Systems with Applications: An International Journal
Trading rule discovery in the US stock market: An empirical study

Expert Systems with Applications: An International Journal
Combining multiple feature selection methods for stock prediction: Union, intersection, and multi-intersection approaches

Decision Support Systems
Sustainable competitive advantage of a system goods innovator in a market with network effects and entry threats

Decision Support Systems
A novel, rule-based technical pattern identification mechanism: Identifying and evaluating saucers and resistant levels in the US stock market

Expert Systems with Applications: An International Journal
The enactment of risk categories: The role of information systems in organizing and re-organizing risk management practices in the energy industry

Information Systems Frontiers
Algorithmic determination of the maximum possible earnings for investment strategies

Decision Support Systems
Firm Size Transmission Effect and Price-Volume Relationship Analysis During Financial Tsunami Periods

International Journal of Applied Evolutionary Computation
Multi-classifier based on Elliott wave's recognition

Computers & Mathematics with Applications

Quantified Score

Hi-index	0.01

Visualization

Abstract

In this case study in knowledge engineering, data mining, and behavioral finance, we implement a variation of the bull flag stock charting heuristic using a template matching technique from pattern recognition to identify abrupt increases in volume in the New York Stock Exchange Composite Index. Such volume increases are found to signal subsequent increases in price under certain conditions during the period from 1981 to 1999, the Great Bull Market. A 120-trading-day history of price and volume is used to forecast price movement at horizons from 20 to 100 trading days.