Stock Market Momentum Model
written by Matthew Mohorn
The Stock Market Momentum Model uses the change in price to predict a future change. In trading jargon, this change in price is referred to as momentum. Mathematically, the model can be considered to be a causal high pass filter of degree 1.
In this model, the user can analyze the momentum indicator response as it relates to the daily closing price of a few popular stock indices. The upper plot shows the closing price and a smoothed price (in blue) if the filter is turned on. The lower panel is the momentum indicator. Users can drag a cursor left and right to compare values on these two graphs. Below, the cursor is dropped at a point where the momentum shifts from negative to positive values, which happens to be the beginning of a bull market. A trader would want to buy at these opportunities and sell when the momentum becomes negative. Time is measured in years and in each year there are approximately 253 business days.
Please note that this resource requires at least version 1.6 of Java (JRE).
1 source code document is available
ComPADRE is beta testing Citation Styles!
Disclaimer: ComPADRE offers citation styles as a guide only. We cannot offer interpretations about citations as this is an automated procedure. Please refer to the style manuals in the Citation Source Information area for clarifications.
Citation Source Information
The APA Style presented is based on information from APA Style.org: Electronic References.
The Chicago Style presented is based on information from Examples of Chicago-Style Documentation.
The MLA Style presented is based on information from the MLA FAQ.
Stock Market Momentum Model:
Is Based On Easy Java Simulations Modeling and Authoring Tool
The Easy Java Simulations Modeling and Authoring Tool is needed to explore the computational model used in the Stock Market Momentum Model.relation by Wolfgang Christian
Know of another related resource? Login to relate this resource to it.