Technical analysis compared to mathematical models based methods under parameters mis-specification
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 1999. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Computing in Economics and Finance 1999 402, Society for Computational Economics.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc.
- 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.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
- Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998. "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers 1976, C.E.P.R. Discussion Papers.
- 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.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- Pierre Bajgrowicz & Olivier Scaillet, 2007. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
- Jerome L. Stein, 2009. "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series 2539, CESifo Group Munich.
- 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.
- Jun Maeda & Saul D. Jacka, 2017. "Modeling Technical Analysis," Papers 1707.05253, arXiv.org.
- 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.
- Jerome L. Stein, 2008. "A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis," CESifo Working Paper Series 2220, CESifo Group Munich.
- Stein, Jerome L., 2009. "A tale of two debt crises: a stochastic optimal control analysis," Economics Discussion Papers 2009-44, Kiel Institute for the World Economy (IfW).
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:31:y:2007:i:5:p:1351-1373. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.