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Activity Number:
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500
- Statistical Challenges and Recent Advances in Finance and Business Analytics
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #304346
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Title:
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Identification of Technical Analysis Patterns with Smoothing Splines for Bitcoin Prices
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Author(s):
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Guoyi Zhang* and Nikolay Miller and Yiming Yang and Bruce Sun
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Companies:
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University of New Mexico and University of New Mexico and University of New Mexico and The state university of New York, Buffalo
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Keywords:
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Algorithmic trading strategy;
Bitcoin cryptocurrency;
Smoothing splines;
Technical analysis patterns;
Pattern recognition
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Abstract:
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This research studies automatic price pattern search procedure for Bitcoin cryptocurrency based on one-minute price data. To achieve this, search algorithm was proposed based on non-parametric regression method of smoothing splines. Some well-known technical analysis patterns were investigated and algorithmic trading strategy was constructed to evaluate the effectiveness of the patterns. We found that strategies based on certain technical analysis patterns yield returns that significantly exceed results of unconditional trading strategies.
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Authors who are presenting talks have a * after their name.
