Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)

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Control Chart for Monitoring Stock Price and Trading Volume in Malaysia Stock Market

Authors
Zong Ming Tan1, *, Voon Hee Wong1, Wei Yeing Pan1
1Faculty of Engineering and Science, UniTAR, Jalan Sungai Long, Bandar Sungai Long, Cheras, 43000, Kajang, Selangor Darul Ehsan, Malaysia
*Corresponding author. Email: tanzm@utar.edu.my
Corresponding Author
Zong Ming Tan
Available Online 12 December 2022.
DOI
10.2991/978-94-6463-014-5_27How to use a DOI?
Keywords
ARIMA model; Control chart; Stock price; Trading volume; Volume-weighted moving average
Abstract

Traditional statistical control charts are rarely used as a tool to monitor the stock trading and portfolio analysis due to its capability of proving a buying, selling, or holding signal to the investor. Besides that, the normality assumption for a control chart is always violated due to the share prices and trading volumes are highly correlated. To overcome this problem, auto regressive integrated moving average (ARIMA) model can be integrated into the control chart scheme. In this paper, a moving limit ARIMA control scheme is developed to monitor both stock price and trading volume at the same time. A real-life stock exchange data has been used to demonstrate the effectiveness of the proposed control scheme as compared with the performances of the volume-weighted moving average (VWMA) and relative strength index (RSI) charts. The proposed control scheme shows better performance compared to VWMA and RSI charts.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
Series
Advances in Computer Science Research
Publication Date
12 December 2022
ISBN
978-94-6463-014-5
ISSN
2352-538X
DOI
10.2991/978-94-6463-014-5_27How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Zong Ming Tan
AU  - Voon Hee Wong
AU  - Wei Yeing Pan
PY  - 2022
DA  - 2022/12/12
TI  - Control Chart for Monitoring Stock Price and Trading Volume in Malaysia Stock Market
BT  - Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
PB  - Atlantis Press
SP  - 286
EP  - 295
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-014-5_27
DO  - 10.2991/978-94-6463-014-5_27
ID  - Tan2022
ER  -