This paper proposes an expected utility framework for the treatment of theoretical and empirical issues in technical analysis. Circumstances are found in which a technical analysts' behaviour is 'rationalisable' and schemes for learning such rational behaviour are considered. The decision theoretic perspective developed is shown to be useful in formalising a measure of trading rule optimality, in creating improved rules and in using these rules to create powerful model specification tests.
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Paper provided by European University Institute in its series Economics Working Papers with number
eco97/36.
Length: 36 pages Date of creation: 1997 Date of revision: Handle: RePEc:eui:euiwps:eco97/36
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Find related papers by JEL classification: D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General
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