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James Shine

U.S. Army Topographic Engineering Center



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James Gentle

George Mason University



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Charles Perry

USDA



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670 – Statistical Computing in Data Science

Trends and Volatility of Stock Prices Following Occurrence of Specific Technical Patterns

Sponsor: Section on Statistical Computing
Keywords: financial data, time series, prediction, trend, pattern detection, volatility

James Shine

U.S. Army Topographic Engineering Center

James Gentle

George Mason University

Charles Perry

USDA

A well-known heuristic in financial time series is that a "head and shoulders" pattern (a small peak, a larger peak, and a second small peak) after a long upward trend is a predictor of a future downward trend. We look to assess this and other heuristics against actual financial time series data. We define specific technical patterns and then detect these patterns on real stock data over multiple stocks, time intervals and step sizes. We then compare trend and volatility measures of the stock after the pattern occurs. Our results and their comparison with other studies will be presented and discussed.

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