Momentum Analysis of DJI Stocks Near Sharp Rise, Crash, and Consolidation
Document Type
Article
Publication Date
3-15-2004
Department
Physics and Astronomy
School
Mathematics and Natural Sciences
Abstract
Using a momentum trading approach, Dow Jones Industrial stocks are analyzed on an yearly basis for trade execution during the rise, crash, and consolidation period (1999-2001) of the stock market. While the anomalous trend in some of the volatile sectors are seen (i.e., the Microsoft in year 2000), the probability of high return is considerably high with appropriate choices of trading threshold for short-to-long-term momentum trading. (C) 2003 Published by Elsevier B.V.
Publication Title
Physica A: Statistical Mechanics and Its Applications
Volume
334
Issue
3-4
First Page
524
Last Page
530
Recommended Citation
Wang, H.,
Pandey, R. B.
(2004). Momentum Analysis of DJI Stocks Near Sharp Rise, Crash, and Consolidation. Physica A: Statistical Mechanics and Its Applications, 334(3-4), 524-530.
Available at: https://aquila.usm.edu/fac_pubs/3358