20.500.12556/DKUM-22660 Mehanski trgovalni sistem na podlagi tehnične analize na primeru New York Stock Exchange Mechanical Trading System Based on Technical Analysis on the Case of New York Stock Exchange V nalogi smo sprva predstavili osnove tehnične analize, prav tako pa smo predstavili vzorce in indikatorje tehnične analize. Nato smo diskutirali o hipotezi učinkovitega trga in o vedenjskih financah. S pomočjo mehanskih trgovalnih sistemov, ki so temeljili na indikatorjih tehnične analize smo preverjali hipotezo učinkovitega trga v njeni šibki obliki. Obdobje od 1.3.2006 do 1.3.2011, v katerem smo testirali različne mehanske trgovalne sisteme, predstavlja obdobje finančne in gospodarske krize. V tem obdobju smo testirali pet različnih mehanskih trgovalnih sistemov. Za testiranje smo si izbrali 10 delnic z indeksa Dow Jones Industrial Average, ki so zelo likvidne. Donosnost petih trgovalnih strategij, ki so temeljile na indikatorjih tehnične analize smo primerjali s strategijo buy and hold izbranih delnic in z donosnostjo indeksa DJIA. Podatke smo pridobili iz Yahoo Finance. Preverjali smo tudi donosnost obrambnih delnic v času gospodarske krize, se pravi v času nižanja vrednosti borznih indeksov. In this thesis we have introduced the basics of technical analysis, patterns and indicators of technical analysis. Then we have discussed efficient market hypothesis and behavioural finance. We have tested the efficient market hypothesis in her weak form with mechanical trading systems, which are based upon technical analysis indicators. The period from 1.3.2006 to 1.3.2011, in which we tested different mechanical trading systems, represents the period of financial and economic crisis. We have tested five different mechanical trading systems. We have tested 10 stocks that are included in Dow Jones Industrial Average index and have high liquidity. We compared the results of five trading strategies, which were based on indicators of technical analysis, with trading strategy buy and hold of chosen stocks and with index DJIA. We gained data from Yahoo Finance. We have also checked the return of defensive stocks in time of economic crisis, meaning the time when market indexes were falling. Mehanski trgovalni sistem tehnična analiza hipoteza učinkovitega trga vedenjske finance borzni trg Mechanical trading system technical analysis Efficient Market Hypothesis behavioural finance stock market true true false [A. Ritonja] Slovenski jezik Angleški jezik Magistrsko delo/naloga 2012-04-12 08:59:38 2012-05-25 09:35:49 2022-04-14 12:00:00 2023-12-30 03:18:15 2012 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.76 11079964 URN:SI:UM:DK:AN5EU99J MAG_Ritonja_Ales_2012.pdf MAG_Ritonja_Ales_2012.pdf 1 694F853399B722E29BECEC188DF7C3A1 aa3ed173fb0edb23154703160e053b13475dfa9213b884c0c708f44c04f6db5a 8b566be1-7c06-11eb-bb7a-00155d0001ca 20.500.12556/dkum/20b50b08-3df1-4dbb-807e-013e54bdcf82 https://dk.um.si/Dokument.php?lang=slv&id=29619 Ekonomsko-poslovna fakulteta 0 0 0