Credit scoring techniques application in investment decision making
Credit scoring techniques application in investment decision making

Author(s): Juraj Hruška
Subject(s): Business Economy / Management, International relations/trade, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: logistic regression; technical analysis; exponential moving averages; automated trading;
Summary/Abstract: Algorithmic trading is achieving leading position in contemporary development of financial markets. Most strategies of algorithmic trading are still based on technical analysis. Basic technical analysis is following the rule that chosen strategy should be easy understandable and applicable in order to simplify investor’s decision making. This paper analyzes more sophisticated methods to combine the signals from several indicators to design investing strategy, which would be profitable in the long run. Econometrical and credit scoring methods are used to determine whether chosen indicators are relevant to the designed strategy. Explaining variables are time series of dummy variables indicating whether the indicator (exponential moving average) is suggesting submitting buy order or not.

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