Analysing Technical Analysis
AbstractThis 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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Bibliographic InfoPaper 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:
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MODELS ; LEARNING;
Find related papers by JEL classification:
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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- Skouras, Spyros, 2001.
"Financial returns and efficiency as seen by an artificial technical analyst,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 25(1-2), pages 213-244, January.
- Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998.
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