There is a certain correlation between asset prices and volume. This paper eliminates the noise in time series of price and volume of Shanghai Composite Index by using the wavelet nonlinear threshold denoising method, and the denoised co-integration analysis indicates the degree of price changes can be explained on the basis of monthly volume changes, and meanwhile the relation of price volume can determine the long-term trends in the market; combined with more sensitive short-term moving average index, a specific timing strategy based on these indicators is proposed. The back-testing results show that wavelet denoising can improve the performance of the strategy significantly.
Wang Fenghu
,
Xu Ran
,
Qi Xianghui
,
He Yiyue
. A Study of Timing Strategy of Volume and Price Based on Wavelet Denoising[J]. Finance & Economics of Xinjiang, 2017
, 0(5)
: 14
-21
.
DOI: 10.16716/j.cnki.65-1030/f.2017.05.002
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