Analysing Technical Analysis
This 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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|Date of creation:||1997|
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