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Technical Analysis with Empirical Mode Decomposition: A Case in the Hong Kong Stock Market

Alfred Ma and Ted Yu
The Journal of Wealth Management Summer 2021, 24 (1) 41-48; DOI: https://doi.org/10.3905/jwm.2021.1.135
Alfred Ma
is an adjunct professor at Hang Seng University of Hong Kong in Hong Kong
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Ted Yu
is a quant analyst at CASH Algo Finance Group in Hong Kong
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Abstract

This article studies the performance improvement of technical analysis with the application of empirical mode decomposition. The study employs data from the Hong Kong stock market and addresses issues arising from gaps in intraday data. The results support the use of empirical mode decomposition in technical analysis to improve performance.

TOPICS: Technical analysis, emerging markets, statistical methods, performance measurement

Key Findings

  • ▪ Empirical mode decomposition improves technical analysis profitability via denoising before candlestick construction.

  • ▪ Empirical results show 68 basis points of profitability improvement a year on average in the Hong Kong stock market.

  • ▪ Empirical results are robust regardless of the methods to handle the lunch gap in the data.

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The Journal of Wealth Management: 24 (1)
The Journal of Wealth Management
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Summer 2021
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Technical Analysis with Empirical Mode Decomposition: A Case in the Hong Kong Stock Market
Alfred Ma, Ted Yu
The Journal of Wealth Management Apr 2021, 24 (1) 41-48; DOI: 10.3905/jwm.2021.1.135

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Technical Analysis with Empirical Mode Decomposition: A Case in the Hong Kong Stock Market
Alfred Ma, Ted Yu
The Journal of Wealth Management Apr 2021, 24 (1) 41-48; DOI: 10.3905/jwm.2021.1.135
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