Automatiserad aktieanalys baserad på kombinerade tekniska analysmetoder

Examensarbete för kandidatexamen

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Type: Examensarbete för kandidatexamen
Bachelor Thesis
Title: Automatiserad aktieanalys baserad på kombinerade tekniska analysmetoder
Authors: Axner, Anders
Glembo, Johanna
Gulliksson, Runa
Montin, Oskar
Nylén, Oskar
Schön, Tom
Abstract: The project examines the possibility of creating an economic system with a higher yield than market index. For this purpose, a model based on combinations of known technical analysis methods is created. The model conducts trades in accordance with the signals generated by the analysis methods and is evaluated through comparison to an index portfolio, which is composed by an even distribution of the same 35 stocks available to the model. The result is deemed successful if the value of the system portfolio surpasses the value of the index portfolio measured at the same point in time. A combined model is created based on the weightings of the implemented analysis methods, according to their expected profitability after they have been parametrically optimized. A portfolio manager, that determines which stock is to be traded and the amount of shares for each trade, is constructed according to these weightings. The system created based on this model showed a successful result, after being tested and validated on two independent time periods. The time it took the system to show a successful result was relatively long, and the results presented in this thesis encourages further development of the model.
Keywords: Data- och informationsvetenskap;Computer and Information Science
Issue Date: 2014
Publisher: Chalmers tekniska högskola / Institutionen för data- och informationsteknik (Chalmers)
Chalmers University of Technology / Department of Computer Science and Engineering (Chalmers)
URI: https://hdl.handle.net/20.500.12380/203642
Collection:Examensarbeten för kandidatexamen // Bachelor Theses



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