Stationarity analysis of the stock market data and its application to mechanical trading

This study proposes a scheme for stationarity analysis of stock price fluctuations based on KM$_2$O-Langevin theory. Using this scheme, we classify the time-series data of stock price fluctuations into three periods: stationary, non-stationary, and intermediate. We then suggest an example of a low-risk stock trading strategy to demonstrate the usefulness of our scheme by using actual stock index data. Our strategy uses a trend-based indicator, moving averages, for stationary periods and an oscil...