Statistical Control Charts: Performances of Short Term Stock Trading in Croatia
By: Ksenija Dumičić and Berislav Žmuk
References
- 1. Almenberg, J., Dreber, A. (2012), “Gender, Stock Market Participation and Financial Literacy”, SSE/EFI Working Paper Series in Economics and Finance, No. 737, available at http://swopec.hhs.se/hastef/papers/hastef0737.pdf (29 September 2014).
- 2. Benić V., Franić, I. (2008), “Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets”, Financial Theory and Practice, Vol. 32 No. 4, pp. 477-498.
- 3. Bogan, V. (2008), “Stock Market Participation and the Internet”, Journal of Financial and Quantitative Analysis, Vol. 43 No. 1, pp. 191-212.
- 4. Box, G. E. P., Luceno, A., Paniagua-Quinones, M. D. C., (2009), “Statistical Control by Monitoring and Adjustment”, 2nd ed., New Jersey, John Wiley & Sons.
- 5. Caporale, G. M., Howells, P. G. A, Soliman, A. M. (2004), “Stock market development and economic growth: The causal linkage”, Journal of Economic Development, Vol. 29 No. 1, pp. 33-50.
- 6. Chen, T. (2010), “On reducing false alarms in multivariate statistical process control”, Chemical Engineering Research and Design, Vol. 88 No. 4, pp. 430-436.
- 7. del Castillo, E. (2002), “Statistical Process Adjustment for Quality Control”, New York, John Wiley & Sons.
- 8. Dumičić, K., Žmuk, B. (2011a), “Metode statističke kontrole kvalitete” (“Statistical Quality Control Methods”), in Dumičić, K., Bahovec, V. (Eds.), Poslovna statistika (Business Statistics), Zagreb, Element, pp. 459-539.
- 9. Dumičić, K., Žmuk, B. (2011b), “Monitoring delivery time with control charts”, in Katalinić. B. (Ed.), Annals of DAAAM for 2011 & Proceedings of the 22nd DAAAM International World Symposium, Vienna, Austria, November 24-26, 2011, Vienna, DAAAM International Vienna, pp. 1199-1200.
- 10. Gandy, A. (2012), “Performance monitoring of credit portfolios using survival analysis”, International Journal of Forecasting, Vol. 28 No. 1, pp. 139-144.
- 11. Guiso, L., Sapienza, P., Zingales, L., (2008), “Trusting the Stock Market”, The Journal of Finance, Vol. 63 No. 6, pp. 2557-2600.
- 12. Hong, H., Kubik, J. D., Stein, J. C. (2004), “Social Interaction and Stock-Market Participation”, The Journal of Finance, Vol. 59 No. 1, pp. 137-163.
- 13. Hunter, J. S. (1986), “The Exponentially Weighted Moving Average”, Journal of Quality Technology, Vol. 18 No. 4, pp. 203-210.
- 14. Liu, C. S., Tien, F. C. (2011), “An Evaluation of Single-Featured EWMA-X (SFEWMAX) Control Chart with Process Mean Shifts and Standard Deviation Changes”, International Journal of Applied Science and Engineering, Vol. 9 No. 2, pp. 111-121.
- 15. Manas, A. T. (2005), “The increasing relevance of the stock market in the world: A new scenario”, available at http://www2.uah.es/iaes/publicaciones/DT_01_05.pdf (29 September 2014).
- 16. McNeese, W., Wilson, W. (2002), “Using time series charts to analyse financial data”, available at http://www.spcforexcel.com/files/timeseriesfinancial.pdf (30 September 2014).
- 17. Montgomery, D. C, Friedman, D. J. (1989), “Statistical process control in computer integrated manufacturing environment”, in Keats, J. B., Hubele, N. F. (Eds.), Statistical Process Control in Automated Manufacturing, New York, Marcel Dekker, pp. 67-88.
- 18. Montgomery, D. C. (2013), “Statistical Quality Control: A Modern Introduction”, 7th ed., Singapore, John Wiley & Sons.
- 19. Montgomery, D. C., Jennings, C. L., Pfund, M. E. (2011a), “Managing, Controlling, and Improving Quality”, New Jersey, John Wiley & Sons.
- 20. Montgomery, D. C., Runger, G. C. (2011b), “Applied Statistics and Probability for Engineers”, New Jersey, John Wiley & Sons.
- 21. Page, E. S. (1954), “Continuous Inspection Scheme”, Biometrika, Vol. 41 No. 1-2, pp. 100-115.
- 22. Rebisz, B. (2014), “Appliance of Quality Control Charts for Sovereign Risk Modelling”, available at http://iriaf.univ-poitiers.fr/images/medias/fichier/v-s3-4-rebisz_1402061581460-pdf (30 September 2014).
- 23. Riaz, M., Abbas, N., Does, R. J. M. M. (2011), “Improving the Performance of CUSUM Charts”, Quality and Reliability Engineering International, Vol. 27 No. 4, pp. 415-424.
- 24. Roberts, S. W. (1959), “Control Chart Tests based on Geometric Moving Averages”, Technometrics, Vol. 1 No. 3, pp. 239-250.
- 25. Ryu, J. H., Wan, H., Kim, S. (2010), “Optimal Design of a CUSUM Chart for a Mean Shift of Unknown Size”, Journal of Quality Technology, Vol. 42 No. 3, pp. 311-326.
- 26. SAS Institute (2014), “Statistical Details for CUSUM Control Charts”, available at http://www.jmp.com/support/help/Statistical_Details_for_CUSUM_Control_Charts. shtml (3 October 2014).
- 27. Tachiwou, A. M. (2010), “Stock Market Development and Economic Growth: The Case of West African Monetary Union”, International Journal of Economics and Finance, Vol. 2 No. 3, pp. 97-103.
- 28. van Rooij, M., Lusardi, A., Alessie, R. (2011), “Financial literacy and stock market participation”, Journal of Financial Economics, Vol. 101 No. 2, pp. 449-472.
- 29. Wild, C. J., Seber, G. A. F. (1999), “Chance Encounters: A First Course in Data Analysis and Inference”, New York, John Wiley & Sons.
- 30. Zagreb Stock Exchange (2014a), “2013 Trading Summary”, available at http://zse.hr/UserDocsImages/reports/ZSE-2013-eng.pdf (1 October 2014).
- 31. Zagreb Stock Exchange (2014b), “Historical Overview”, available at http://zse.hr/default.aspx?id=32877 (1 October 2014).
- 32. Zagreb Stock Exchange (2014c), “Index CROBEX10”, available at http://zse.hr/default.aspx?id=44102&index=CROBEX10 (1 October 2014).
- 33. Zagreb Stock Exchange (2014d), “Indices”, available at http://zse.hr/default.aspx?id=43539 (1 October 2014).
Language: English
Page range: 22 - 35
Submitted on: Dec 20, 2015
Accepted on: Mar 10, 2015
Published on: May 9, 2015
Published by: IRENET - Society for Advancing Innovation and Research in Economy
In partnership with: Paradigm Publishing Services
Keywords:
Related subjects:
© 2015 Ksenija Dumičić, Berislav Žmuk, published by IRENET - Society for Advancing Innovation and Research in Economy
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.