Monitoring The Short-term Trading Of American Airlines Stock Based On The Improved EWMA Control Charts

The monitoring of the stock market trend is a topic what many scholars are happy to study.People have to scientifically monitor and analyze the stocks when they are under the state of abnormal fluctuations.Based on a correct judgment,people can take reasonable preventive measures and reduce the risk to get the relatively greater benefit.Exponentially weighted moving average control chart is an effective statistical control strategy in process control.Hence,it enjoys important theoretical and practical significance value to monitor the short-term trading of single stock based on EWMA control chart.For American Airlines stockt's five risk indicators data: opening price,amount of increase,amplitude,transaction amount and turnover rate from Jun 1,2017 to Oct 10,2017,this paper employs principal component analysis to reduce the dimension of the multivariate data and get the comprehensive score.After that,this thesis utilizes three normality test methods to test the comprehensive indexes,and the tested result shows that the data does not obey normal distribution.For the non-normal data,this article designes two kinds of monitoring schemes: One is to construct non-normal SWV-EWMA control chart by means of the scaled weighted variance method.The other is to construct BC-EWMA and JS-EWMA control charts by means of the Box-Cox and Johnson transform method,respectively.Finally,we monitor the short-term trading of American Airlines stock by the constructed three control charts,respectively.The results researched by SWV-EWMA,BC-EWMA and JS-EWMA control charts show that SWV-EWMA control chart have too many fluctuation points beyond the control limits in the monitoring,and so this control chart monitoring does not work.The BC-EWMA and JS-EWMA control charts can play the role of monitoring better.Particularly,the analysis shows if the fluctuation point is within the control range,the stock fluctuates normally.We advise investors to neither buy nor sell the stock.When the fluctuation point exceeds the upper control limit,the nonbuyer is not recommended to buy it and the buyer can sell it to earn an greater income.When the fluctuation point is out of the lower control limit,those nonbuyers are advise to buy the stock,and those buyers are exposed to the risk of an abnormal decline in the stock.