20.500.12556/DKUM-68922 Capabilities of statistical residual-based control charts in short-and long-term stock trading Zmožnosti nadzornih diagramov, ki temeljijo na statističnih rezidualih, pri kratkoročnem in dolgoročnem trgovanju z delnicami The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field. Namen tega prispevka je predstaviti in razviti dodatna statistična orodja za podporo odločitvenega procesa pri trgovanju z delnicami. Uporabljene so vrednosti delniškega indeksa CROBEX10. Izvedene simulacije trgovanja, ki temeljijo na nadzornih diagramih, temelječih na rezidualih, so v 67,92 % primerov vodile v dobiček investitorja. Kratkoročno je nadzorni diagram kumulativne vsote (CUSUM) vodil v najvišje portfeljske dobičke. Dolgoročno je imel najvišji portfeljski dobiček nadzorni diagram, temelječ na eksponentni uteženi drseči aritmetični sredini rezidualov, pri čemer so bile uporabljene povprečne cene delnic in nadzorne meje 2-sigma. V vseh drugih primerih so se na dolgi rok nadzorni diagrami CUSUM izkazali za najboljšo izbiro. Pričakovati je, da bodo dognanja o možni uspešni uporabi pri trgovanju z delnicami dvignila raven uporabe metod SPC. Zagreb Stock Exchange investments statistical process control autocorrelation residual-based control charts borza borzništvo delnice Zagrebška borza vrednostnih papirjev naložbe statistični nadzor procesov avtokorelacija nadzorni diagrami temelječi na rezidualih true false true Angleški jezik Slovenski jezik Znanstveno delo 2017-11-13 14:26:57 2017-11-13 14:28:13 2022-08-01 16:28:51 2019-07-11 17:15:13 2016 0 0 str. 12-26 št. 1 Letn. 62 2016 0000-00-00 Zaloznikova Objavljeno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 0547-3101 311.21:658.7 751364 12267036 10.1515/ngoe-2016-0002 0547-3101 URN:SI:UM:DK:NG57HMQT Nase_gospodarstvoOur_economy_2016_Zmuk_Capabilities_of_Statistical_Residual-Based_Control_Charts_in_Short-_and_Long-Term_Stock_Trading.pdf Nase_gospodarstvoOur_economy_2016_Zmuk_Capabilities_of_Statistical_Residual-Based_Control_Charts_in_Short-_and_Long-Term_Stock_Trading.pdf 1 7AF7279D27F85686D1AF8704B8E71A32 9ef5c2b02a580d842da6530bb1d319d8616ef57d42b715a3feabdcca31f8a982 7ca5c1f1-7c0f-11eb-bb7a-00155d0001ca 20.500.12556/dkum/87b5c7c9-94ce-430f-a786-186a2fef801d https://dk.um.si/Dokument.php?lang=slv&id=120186 https://www.degruyter.com/view/j/ngoe.2016.62.issue-1/ngoe-2016-0002/ngoe-2016-0002.xml 1 https://dk.um.si/Dokument.php?lang=slv&id=120185 Ekonomsko-poslovna fakulteta Naše gospodarstvo 0 0 0