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Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."

Citations

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Cited by:

  1. Kaucic, Massimiliano, 2010. "Investment using evolutionary learning methods and technical rules," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1717-1727, December.
  2. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  3. John Anderson & Robert Faff, 2005. "Profitability of Trading Rules in Futures Markets," Accounting Research Journal, Emerald Group Publishing, vol. 18(2), pages 83-92, September.
  4. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
  5. Senol Emir & Hasan Dincer & Umit Hacioglu & Serhat Yuksel, 2016. "Random Regression Forest Model using Technical Analysis Variables: An application on Turkish Banking Sector in Borsa Istanbul (BIST)," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 85-102, April.
  6. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
  7. Michael McAleer & John Suen & Wing Keung Wong, 2016. "Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis," The Japanese Economic Review, Springer, vol. 67(3), pages 257-279, September.
  8. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
  9. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
  10. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-23.
  11. Subrata K. Mitra & Abhishek Rohit, 2020. "Momentum Trading with the ℓ1‐Filter: Are the Markets Efficient?," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 827-856, December.
  12. Gerth, Hendrik & Niermann, Stefan, 2004. "Überrenditen durch Point and Figure-Charts: Zufall oder System?," Hannover Economic Papers (HEP) dp-302, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  13. Alexandros E. Milionis & Evangelia Papanagiotou, 2008. "A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets," Working Papers 91, Bank of Greece.
  14. Muhammad A. Cheema & Gilbert V. Nartea & Yimei Man, 2018. "Cross‐Sectional and Time Series Momentum Returns and Market States," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 705-715, December.
  15. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  16. Martin, Anna D., 2001. "Technical trading rules in the spot foreign exchange markets of developing countries," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 59-68, February.
  17. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  18. Kevin Rink, 2023. "The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 403-456, December.
  19. Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  20. Joan Mileski & Christopher Clott & Cassia Bomer Galvao & Taliese Laverne, 2020. "Technical analysis: the psychology of the market of dry bulk freight rates," Journal of Shipping and Trade, Springer, vol. 5(1), pages 1-15, December.
  21. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
  22. Giuliano Lorenzoni & Adrian Pizzinga & Rodrigo Atherino & Cristiano Fernandes & Rosane Riera Freire, 2007. "On the Statistical Validation of Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(1), pages 3-28.
  23. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
  24. Mihaela Nicolau, 2010. "Practitioners' Tools in Analysing Financial Markets Evolution," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 83-104, August.
  25. Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
  26. Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.
  27. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  28. Paskalis Glabadanidis, 2014. "The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 161-202, June.
  29. F. FernAndez-RodrIguez & S. Sosvilla-Rivero & J. Andrada-FElix, 2003. "Technical analysis in foreign exchange markets: evidence from the EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 113-122.
  30. Alexandros E. Milionis & Evangelia Papanagiotou, 2008. "On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(2), pages 181-201, July.
  31. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers on International Economics and Finance 00-02, FEDEA.
  32. Svogun, Daniel & Bazán-Palomino, Walter, 2022. "Technical analysis in cryptocurrency markets: Do transaction costs and bubbles matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  33. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  34. Emmanuel Acar & Stephen Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 165-180.
  35. Lee, Chun I. & Pan, Ming-Shiun & Liu, Y. Angela, 2001. "On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 199-214, June.
  36. 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.
  37. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-23.
  38. Bertrand Maillet & Thierry Michel, 2000. "Further insights on the puzzle of technical analysis profitability," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 196-224.
  39. Norbert Fiess & Ronald MacDonald, 1999. "Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 147-172, September.
  40. Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  41. Paskalis Glabadanidis, 2015. "Market Timing With Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 387-425, September.
  42. Alexandros Milionis & Evangelia Papanagiotou, 2009. "A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-for," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1171-1186.
  43. Kwon, Ki-Yeol & Kish, Richard J., 2002. "A comparative study of technical trading strategies and return predictability: an extension of Brock, Lakonishok, and LeBaron (1992) using NYSE and NASDAQ indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 611-631.
  44. Alexandros E. Milionis & Evangelia Papanagiotou, 2013. "Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(11), pages 2480-2494, November.
  45. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  46. Giuseppe Galloppo, 2009. "Dynamic Asset Allocation Using a Combined Criteria Decision System," Accounting & Taxation, The Institute for Business and Finance Research, vol. 1(1), pages 29-44.
  47. Paskalis Glabadanidis, 2017. "Timing the Market with a Combination of Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 353-394, September.
  48. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge.
  49. Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
  50. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
  51. Farias Nazário, Rodolfo Toríbio & e Silva, Jéssica Lima & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2017. "A literature review of technical analysis on stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 115-126.
  52. Anton Andriyashin, 2008. "Stock Picking via Nonsymmetrically Pruned Binary Decision Trees," SFB 649 Discussion Papers SFB649DP2008-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  53. Ben Moews & Gbenga Ibikunle, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers 2002.10385, arXiv.org.
  54. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
  55. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
  56. Angela Besana & Annamaria Esposito, 2017. "Memory, Marketing and Economic Performances in Usa Symphony Orchestras and Opera Houses," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
  57. Valerii Salov, 2017. "The Wandering of Corn," Papers 1704.01179, arXiv.org.
  58. Dan Anghel, 2013. "How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 089-115, December.
  59. Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Technical analysis in the Madrid stock exchange," Studies on the Spanish Economy 23, FEDEA.
  60. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  61. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  62. Moews, Ben & Ibikunle, Gbenga, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  63. Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
  64. Lee, Chun I. & Mathur, Ike, 1996. "Trading rule profits in european currency spot cross-rates," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 949-962, June.
  65. Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
  66. Valerii Salov, 2017. "Trading Strategies with Position Limits," Papers 1712.07649, arXiv.org.
  67. Valerii Salov, 2015. "The Role of Time in Making Risky Decisions and the Function of Choice," Papers 1512.08792, arXiv.org.
  68. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.
  69. M. A. H. Dempster & C. M. Jones, 2002. "Can channel pattern trading be profitably automated?," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 275-301.
  70. Afiruddin Tapa* & Mohd Hasimi Yaacob & Ahmad Husni Hamzah & Yean Soh Chuen, 2018. "Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 933-941:6.
  71. Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 25-41, February.
  72. R. Rosillo & D. de la Fuente & J. A. L. Brugos, 2013. "Technical analysis and the Spanish stock exchange: testing the RSI, MACD, momentum and stochastic rules using Spanish market companies," Applied Economics, Taylor & Francis Journals, vol. 45(12), pages 1541-1550, April.
  73. Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
  74. Dockery, Everton & Todorov, Ivan, 2023. "Further evidence on the returns to technical trading rules: Insights from fourteen currencies," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
  75. Jimmy Hilliard & Adam Schwartz & James Squire, 2013. "A Test of Technical Analysis: Matching Time Displaced Generalized Patterns," Financial Management, Financial Management Association International, vol. 42(2), pages 291-314, June.
  76. Shambora, William E. & Rossiter, Rosemary, 2007. "Are there exploitable inefficiencies in the futures market for oil?," Energy Economics, Elsevier, vol. 29(1), pages 18-27, January.
  77. Yang, Junmin & Cao, Zhiguang & Han, Qiheng & Wang, Qiyu, 2019. "Tactical asset allocation on technical trading rules and data snooping," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  78. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
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