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A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Francesco Bartolucci

    (University of Perugia, Department of Economics)

  • Alessandro Cardinali

    (Plymouth University, School of Computing and Mathematics)

  • Fulvia Pennoni

    (University of Milano-Bicocca, Department of Statistics and Quantitative Methods)

Abstract

We propose a generalized version of the moving average converge divergence (MACD) indicator widely employed in the technical analysis and trading of financial markets. By assuming a martingale model with drift for prices, as well as for their transformed values, we propose a test statistic for the local drift and derive its main theoretical properties. The semi-strong market efficiency hypothesis is assessed through a bootstrap test. We conclude by applying the indicator to monitor the crude oil prices over a 6 years period.

Suggested Citation

  • Francesco Bartolucci & Alessandro Cardinali & Fulvia Pennoni, 2018. "A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 101-105, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_18
    DOI: 10.1007/978-3-319-89824-7_18
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