FINS5542 Assignment 1
Date Due: 11pm Wednesday 2 July, with electronic submission (pdf file) via the course website
1. Find a time period (approximately 9 to 12 months and avoiding stock split events) from one of the following assets aan1, aan4, aan5, aan6, aan7, aan14, aan15, ann18, aan19 (see over page) in which the technical indicator of when a 25 day moving average crosses a 100 day moving average was a strong indicator of the future movement in the asset price. You should aim for 4 to 5 strong correct signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 5 trading days after the signal occurs.
Display a graph to demonstrate your findings, in addition to de-scribing your findings. One should also print out the Ox computer code used to solve this problem. [10 marks]
(7 marks for time period, 1.5 marks for code, 1.5 marks for presenta-tion quality)
2. Find a time period (approximately 18 to 24 months and avoid-ing stock split events) from one of the following assets aan2, aan3, aan4, aan6, aan8, aan11, aan12, aan13, aan17, aan19 (see over page) in which the technical indicator of when a 70 day moving average crosses a 260 day moving average was a strong indicator of the future movement in the asset price. You should aim for 2 to 3 strong cor-rect signals and incorrect signals can weaken your answer, especially if they are of substantial magnitude. You should evaluate the signal 10 trading days after the signal occurs.
Display a graph to demonstrate your findings, in addition to de-scribing your findings. One should also print out the Ox computer code used to solve this problem. [10 marks]
(7 marks for time period, 1.5 marks for code, 1.5 marks for presenta-tion quality)
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Variable
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Name
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aan1
aan2
aan3
aan4
aan5
aan6
aan7
aan8
aan9
aan10
aan11
aan12
aan13
aan14
aan15
aan16
aan17
aan18
aan19
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CISCO SYSTEMS INC
MICROSOFT CORP
INTEL CORP
TEXAS INSTRUMENTS INC
SPRINT CORP
AMGEN INC
INTERPUBLIC GROUP COS INC
MELLON BANK CORP
WARNER LAMBERT CO
BRISTOL MYERS SQUIBB CO
ENRON CORP
GENERAL ELECTRIC CO
TIME WARNER INC
EXXON CORP
DELL COMPUTER CORP
AMERICAN EXPRESS CO
SUN MICROSYSTEMS INC
CORNING INC
FORD MOTOR CO DEL
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