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Technical analysis compared to mathematical models based methods under parameters mis-specification

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Listed:
  • Blanchet-Scalliet, Christophette
  • Diop, Awa
  • Gibson, Rajna
  • Talay, Denis
  • Tanre, Etienne

Abstract

No abstract is available for this item.

Suggested Citation

  • Blanchet-Scalliet, Christophette & Diop, Awa & Gibson, Rajna & Talay, Denis & Tanre, Etienne, 2007. "Technical analysis compared to mathematical models based methods under parameters mis-specification," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1351-1373, May.
  • Handle: RePEc:eee:jbfina:v:31:y:2007:i:5:p:1351-1373
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    References listed on IDEAS

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    1. Karatzas Ioannis, 2003. "A note on Bayesian detection of change-points with an expected miss criterion," Statistics & Risk Modeling, De Gruyter, vol. 21(1/2003), pages 3-14, January.
    2. 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 1705-1770, August.
    3. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    4. 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.
    5. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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    Citations

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    Cited by:

    1. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2016. "Robustness of mathematical models and technical analysis strategies," Papers 1605.00173, arXiv.org.
    2. 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.
    3. Jerome L. Stein, 2009. "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series 2539, CESifo Group Munich.
    4. Shiryaev Albert & Novikov Alexander A., 2009. "On a stochastic version of the trading rule “Buy and Hold”," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 289-302, July.
    5. Jun Maeda & Saul D. Jacka, 2017. "Modeling Technical Analysis," Papers 1707.05253, arXiv.org, revised Apr 2018.
    6. Stein, Jerome L., 2010. "A tale of two debt crises: a stochastic optimal control analysis," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-24.

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