scholarly journals Statistical Control Charts: Performances of Short Term Stock Trading in Croatia

2015 ◽  
Vol 6 (1) ◽  
pp. 22-35 ◽  
Author(s):  
Ksenija Dumičić ◽  
Berislav Žmuk
Keyword(s):  
Control Charts ◽  
Stock Exchange ◽  
Moving Average ◽  
Portfolio Analysis ◽  
False Alarms ◽  
Statistical Control ◽  
Stock Trading ◽  
Statistical Tool ◽  
Statistical Process ◽  
Short Run

Abstract Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it investigate the usage of statistical process control (SPC) methods into the stock trading process. Methods/Approach: The individual (I), exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control charts were used for gaining trade signals. The open and the average prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the analysis. The statistical control charts capabilities for stock trading in the short-run were analysed. Results: The statistical control chart analysis pointed out too many signals to buy or sell stocks. Most of them are considered as false alarms. So, the statistical control charts showed to be not so much useful in stock trading or in a portfolio analysis. Conclusions: The presence of non-normality and autocorellation has great impact on statistical control charts performances. It is assumed that if these two problems are solved, the use of statistical control charts in a portfolio analysis could be greatly improved.

scholarly journals Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading

2016 ◽  
Vol 62 (1) ◽  
pp. 12-26 ◽  
Author(s):  
Berislav Žmuk
Keyword(s):  
Control Chart ◽  
Stock Prices ◽  
Control Charts ◽  
Stock Exchange ◽  
Moving Average ◽  
Stock Trading ◽  
Cusum Control Chart ◽  
Long Run ◽  
Short Run ◽  
Exponential Weighted Moving Average

Abstract The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.

scholarly journals Monitoring of mechanical sugarcane harvesting through control charts

2015 ◽  
Vol 35 (6) ◽  
pp. 1079-1092 ◽  
Author(s):  
Murilo A. Voltarelli ◽  
Rouverson P. da Silva ◽  
Cristiano Zerbato ◽  
Carla S. S. Paixão ◽  
Tiago de O. Tavares
Keyword(s):  
Process Control ◽  
Statistical Process Control ◽  
Control Chart ◽  
Control Charts ◽  
Moving Average ◽  
Grinding Wheel ◽  
Individual Values ◽  
Statistical Process ◽  
Minas Gerais State ◽  
Weighted Moving Average

ABSTRACT Statistical process control in mechanized farming is a new way to assess operation quality. In this sense, we aimed to compare three statistical process control tools applied to losses in sugarcane mechanical harvesting to determine the best control chart template for this quality indicator. Losses were daily monitored in farms located within Triângulo Mineiro region, in Minas Gerais state, Brazil. They were carried over a period of 70 days in the 2014 harvest. At the end of the evaluation period, 194 samples were collected in total for each type of loss. The control charts used were individual values chart, moving average and exponentially weighted moving average. The quality indicators assessed during sugarcane harvest were the following loss types: full grinding wheel, stumps, fixed piece, whole cane, chips, loose piece and total losses. The control chart of individual values is the best option for monitoring losses in sugarcane mechanical harvesting, as it is of easier result interpretation, in comparison to the others.

Condition monitoring based on modified CUSUM and EWMA control charts

2018 ◽  
Vol 24 (1) ◽  
pp. 119-132 ◽  
Author(s):  
Suzana Paula Gomes Fernando da Silva Lampreia ◽  
José Fernando Gomes Requeijo ◽  
José António Mendonça Dias ◽  
Valter Martins Vairinhos ◽  
Patrícia Isabel Soares Barbosa
Keyword(s):  
Control Charts ◽  
Moving Average ◽  
Failure Detection ◽  
Parameters Estimation ◽  
False Alarms ◽  
Model Parameters ◽  
Content Type ◽  
Catastrophic Failures ◽  
The Right ◽  
Weighted Moving Average

Purpose The application of condition-based maintenance on selected equipment can allow online monitoring using fixed, half-fixed or portable sensors. The collected data not always allow a straightforward interpretation and many false alarms can happen. The paper aims to discuss these issues. Design/methodology/approach Statistical techniques can be used to perform early failure detection. With the application of Cumulative Sum (CUSUM) Modified Charts and the Exponentially Weighted Moving Average (EWMA) Charts, special causes of variation can be detected online and during the equipment functioning. Before applying these methods, it is important to check data for independence. When the independence condition is not verified, data should be modeled with an ARIMA (p, d, q) model. Parameters estimation is obtained using the Shewhart Traditional Charts. Findings With data monitoring and statistical methods, it is possible to detect any system or equipment failure trend, so that we can act at the right time to avoid catastrophic failures. Originality/value In this work, an electro pump condition is monitored. Through this process, an anomaly and four stages of aggravation are forced, and the CUSUM and EWMA modified control charts are applied to test an online equipment monitoring. When the detection occurs, the methodology will have rules to define the degree of intervention.

Time Series Control Charts in the Presence of Model Uncertainty

2002 ◽  
Vol 124 (4) ◽  
pp. 891-898 ◽  
Author(s):  
Daniel W. Apley
Keyword(s):  
Time Series ◽  
Model Uncertainty ◽  
Control Charts ◽  
Average Run Length ◽  
Moving Average ◽  
Process Data ◽  
Estimation Errors ◽  
Statistical Process ◽  
Modeling Errors ◽  
Autocorrelated Processes

Time series control charts are popular methods for statistical process control of autocorrelated processes. In order to implement these methods, however, a time series model of the process is required. Since time series models must always be estimated from process data, model estimation errors are unavoidable. In the presence of modeling errors, time series control charts that are designed under the assumption of a perfect model may have an actual in-control average run length that is substantially shorter than desired. This paper presents a method for incorporating model uncertainty information into the design of time series control charts to provide a level of robustness with respect to modeling errors. The focus is on exponentially weighted moving average charts and Shewhart individual charts applied to the time series residuals.

scholarly journals Application of SPC in Short Run and Small Mixed Batch Production: Case of Bakery Equipment Producer

2018 ◽  
Vol 22 (3) ◽  
pp. 55 ◽  
Author(s):  
Darina Juhászová
Keyword(s):  
Control Charts ◽  
Single Case ◽  
Statistical Process ◽  
Pareto Analysis ◽  
Environmental Consequences ◽  
Starting Point ◽  
Short Run ◽  
And Performance ◽  
And Control ◽  
The Impact

<p><strong>Purpose: </strong>The purpose of this paper is to present preliminary research in statistical process control (SPC) of short run and small mixed batches (SR-SMB) at the organization producing bakery equipment.</p><p><strong>Methodology/Approach:</strong> The starting point of the research is a literary survey of possibilities of using SPC for SR-SMB and analysis of the current state of production in a particular organization. Through Pareto analysis, verifying the normality of the data obtained during eleven months, calculation of process capability and performance it was possible to prepare control charts. Finally, the single-case study shows that the proposed control charts are applicable in a small batch and mixed production in the organization producing bakery equipment.</p><p><strong>Findings: </strong>Through SPC implementation in bakery equipment SR-SMB production it is possible to understand the behaviour of the process and to organize better and control the production of expensive precision components.</p><p><strong>Research Limitation/implication:</strong> Limitation of the research is that data have not been reviewed by individual machines and the impact of individual machines and their settings is not displayed separately.</p><strong>Originality/Value of paper:</strong> Using SPC in the bakery equipment industry is far from common practice. The article presents the first part of the research, which is the starting point for more detailed analysis needed to optimize the use of materials, energy and environmental consequences.

scholarly journals Assessment of process stability and capability in a manufacturing organization: a case study

2021 ◽  
Vol 343 ◽  
pp. 05011
Author(s):  
Carmen Simion
Keyword(s):  
Quality Control ◽  
Control Charts ◽  
Statistical Quality Control ◽  
Statistical Tool ◽  
Statistical Process ◽  
Monitoring Process ◽  
Capability Analysis ◽  
Process Output ◽  
Manufacturing Organization

Quality is considered asthe principal factor that determines the long-termsuccess or failure of any organization. Organizations perform quality control by monitoring process output using Statistical Quality Control, performed as part of the production process (Statistical Process Control, SPC) or as a final quality control check (Acceptance Sampling).SPC is a major quality management statistical tool and its instruments (control charts and capability analysis) are applied to virtually any type of organization (manufacturing, services or transactions - for example, those involving data, communications, software, or movement of materials). The aim of this paper is to present a case study, realized in a manufacturing organizationfrom Sibiu, for a new product used in the automotive industry to check its conformance to designed requirements. The output data were analyzed using statistical analysis software Minitab.

scholarly journals Nonparametric EWMA-Type Control Charts for Monitoring Industrial Processes: An Overview

2021 ◽  
Vol 6 (3) ◽  
pp. 708-751
Author(s):  
Ioannis S. Triantafyllou ◽  
Mangey Ram
Keyword(s):  
Probability Distribution ◽  
Statistical Process Control ◽  
Crucial Role ◽  
Control Charts ◽  
Moving Average ◽  
Industrial Processes ◽  
Statistical Process ◽  
Practical Applications ◽  
Memory Type ◽  
Weighted Moving Average

In the present paper we provide an up-to-date overview of nonparametric Exponentially Weighted Moving Average (EWMA) control charts. Due to their nonparametric nature, such memory-type schemes are proved to be very useful for monitoring industrial processes, where the output cannot match to a particular probability distribution. Several fundamental contributions on the topic are mentioned, while recent advances are also presented in some detail. In addition, some practical applications of the nonparametric EWMA-type control charts are highlighted, in order to emphasize their crucial role in the contemporary online statistical process control.

scholarly journals A Fuzzy EWMA Attribute Control Chart to Monitor Process Mean

Information ◽  
2018 ◽  
Vol 9 (12) ◽  
pp. 312 ◽  
Author(s):  
Muhammad Zahir Khan ◽  
Muhammad Farid Khan ◽  
Muhammad Aslam ◽  
Seyed Taghi Akhavan Niaki ◽  
Abdur Razzaque Mughal
Keyword(s):  
Fuzzy Control ◽  
Control Chart ◽  
Control Charts ◽  
Moving Average ◽  
Real Life ◽  
Fuzzy Data ◽  
Process Mean ◽  
Statistical Process ◽  
Control Charting ◽  
Real Life Data

Conventional control charts are one of the most important techniques in statistical process control which are used to assess the performance of processes to see whether they are in- or out-of-control. As traditional control charts deal with crisp data, they are not suitable to study unclear, vague, and fuzzy data. In many real-world applications, however, the data to be used in a control charting method are not crisp since they are approximated due to environmental uncertainties and systematic ambiguities involved in the systems under investigation. In these situations, fuzzy numbers and linguistic variables are used to grab such uncertainties. That is why the use of a fuzzy control chart, in which fuzzy data are used, is justified. As an exponentially weighted moving average (EWMA) scheme is usually used to detect small shifts, in this paper a fuzzy EWMA (F-EWMA) control chart is proposed to detect small shifts in the process mean when fuzzy data are available. The application of the newly developed fuzzy control chart is illustrated using real-life data.

Defining Quality of Perioperative Care by Statistical Process Control of Adverse Outcomes 

1995 ◽  
Vol 82 (5) ◽  
pp. 1181-1188 ◽  
Author(s):  
Robert S. Lagasse ◽  
Ellen S. Steinberg ◽  
Robert I. Katz ◽  
Albert J. Saubermann
Keyword(s):  
Peer Review ◽  
Perioperative Care ◽  
Control Charts ◽  
Statistical Control ◽  
Healthcare Organizations ◽  
Statistical Process ◽  
Human Errors ◽  
Clinical Indicators ◽  
System Errors

Background Through peer review, we separated the contributions of system error and human (anesthesiologist) error to adverse perioperative outcomes. In addition, we monitored the quality of our perioperative care by statistically defining a predictable rate of adverse outcome dependent on the system in which practice occurs and respondent to any special causes for variation. Methods Traditional methods of identifying human errors using peer review were expanded to allow identification of system errors in cases involving one or more of the anesthesia clinical indicators recommended in 1992 by the Joint Commission on Accreditation of Healthcare Organizations. Outcome data also were subjected to statistical process control analysis, an industrial method that uses control charts to monitor product quality and variation. Results Of 13,389 anesthetics, 110 involved one or more clinical indicators of the Joint Commission on Accreditation of Healthcare Organizations. Peer review revealed that 6 of 110 cases involved two separate errors. Of these 116 errors, 9 (7.8%) were human errors and 107 (92.2%) were system errors. Attribute control charts demonstrated all indicators, excepting one (fulminant pulmonary edema), to be in statistical control. Conclusions The major determinant of our patient care quality is the system through which services are delivered and not the individual anesthesia care provider. Outcome of anesthesia services and perioperative care is in statistical control and therefore stable. A stable system has a measurable, communicable capability that allows description and prediction of the quality of care we provide on a monthly basis.

scholarly journals Improved Hybrid Exponentially Weighted Moving Average Control Chart using Auxiliary Information

2020 ◽  
Author(s):  
Sadia Tariq ◽  
Muhammad Noor-ul-Amin ◽  
Muhammad Hanif ◽  
Chi-Hyuck Jun 
Keyword(s):  
Control Chart ◽  
Control Charts ◽  
Moving Average ◽  
Real Life ◽  
Auxiliary Information ◽  
Auxiliary Variable ◽  
Exponentially Weighted Moving Average ◽  
Statistical Process ◽  
Weighted Moving Average ◽  
Exponentially Weighted

Statistical process control is an important tool for maintaining the quality of a production process. Several control charts are available to monitor changes in process parameters. In this study, a control chart for the process mean is proposed. For this purpose, an auxiliary variable is used in the form of a regression estimator under the configuration of the hybrid exponentially weighted moving average (HEWMA) control chart. The proposed chart is evaluated by conducting a simulation study. The results showed that the proposed chart is sensitive with respect to the HEWMA chart. A real-life application is also presented to demonstrate the performance of the proposed control chart.

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