FINS5542 Assignment 1
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FINS5542 Assignment 1
1. Find a time period (approximately 12 to 18 months and avoiding stock split events) for one of our even numbered assets (see over page, i.e. aan2, aan4, aan6, ...) in which the technical indicator of when a
15 day moving average crosses a 65 day moving average was a strong
indicator of the future movement in the asset price. You should aim for 5 to 6 strong correct signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 5 trading days after the signal occurs.
Display a graph to demonstrate your findings (presentation quality is important), in addition to describing your findings. One should also print out the Ox computer code used to solve this problem.
Hint: Search over a number of time periods to report the time period that displays the strongest results, as this is a key criteria for marks being awarded, in addition to correct code.
[10 marks]
2. Find a time period (approximately 24 to 36 months and avoiding stock split events) for one of our odd numbered assets (see over page, i.e. aan1, aan3, aan5, ...) in which the technical indicator of when a 42 day moving average crosses a 250 day moving average was a strong indicator of the future movement in the asset price. You should aim for 3 to 4 strong correct signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 10 trading days after the signal occurs.
Display a graph to demonstrate your findings (presentation quality is important), in addition to describing your findings. One should also print out the Ox computer code used to solve this problem.
Hint: Search over a number of time periods to report the time period that displays the strongest results, as this is a key criteria for marks being awarded, in addition to correct code.
[10 marks]
Variable |
Name |
aan1 aan2 aan3 aan4 aan5 aan6 aan7 aan8 aan9 aan10 aan11 aan12 aan13 aan14 aan15 aan16 aan17 aan18 aan19 |
CISCO SYSTEMS INC MICROSOFT CORP INTEL CORP TEXAS INSTRUMENTS INC SPRINT CORP AMGEN INC INTERPUBLIC GROUP COS INC MELLON BANK CORP WARNER LAMBERT CO BRISTOL MYERS SQUIBB CO ENRON CORP GENERAL ELECTRIC CO TIME WARNER INC EXXON CORP DELL COMPUTER CORP AMERICAN EXPRESS CO SUN MICROSYSTEMS INC CORNING INC FORD MOTOR CO DEL |
2022-06-22