IDEAS home Printed from https://ideas.repec.org/p/trt/aleatr/003.html
   My bibliography  Save this paper

Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria

Author

Listed:
  • Alessandro Beber

Abstract

Lo studio e l'interpretazione del comportamento manifestato dai mercati finanziari non risulta compatibile con i modelli di mercato proposti dall'economia finanziaria. In quanto segue, attraverso una rassegna del dibattito teorico e delle verifiche empiriche, si illustrerà come l'approccio operativo dell'analista tecnico possa fornire promettenti spunti interpretativi, con particolare riferimento alla presenza di elementi di non linearità e di cambio di regime nelle quotazioni

Suggested Citation

  • 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.
    • Handle: RePEc:trt:aleatr:003
    as

    Download full text from publisher

    File URL: http://www.unitn.it/files/download/19362/alea003.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Sweeney, Richard J, 1986. "Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    2. Goldberg, Michael & Schulmeister, Stephen, 1988. "Technical Analysis And Stock Market Efficiency," Working Papers 88-21, C.V. Starr Center for Applied Economics, New York University.
    3. Salih N. Neftci & Andrew J. Policano, 1984. "Can chartists outperform the market? market efficiency tests for “technical analysis”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 465-478, December.
    4. Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(4), pages 405-426, December.
    5. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
    6. Blake LeBaron, "undated". "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
    7. Mark J Ready, 2002. "Profits from Technical Trading Rules," Financial Management, Financial Management Association, vol. 31(3), Fall.
    8. Jeffrey A. Frankel & Andrew K. Rose, 1994. "A Survey of Empirical Research on Nominal Exchange Rates," NBER Working Papers 4865, National Bureau of Economic Research, Inc.
    9. Rogalski, Richard J, 1978. "The Dependence of Prices and Volume," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 268-274, May.
    10. Treynor, Jack L & Ferguson, Robert, 1985. "In Defense of Technical Analysis," Journal of Finance, American Finance Association, vol. 40(3), pages 757-773, July.
    11. Cheng, Pao L & Deets, M King, 1971. "Portfolio Returns and the Random Walk Theory," Journal of Finance, American Finance Association, vol. 26(1), pages 11-30, March.
    12. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    13. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    14. Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-185, May.
    15. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 285-300, September.
    16. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    17. Froot, Kenneth A & Scharftstein, David S & Stein, Jeremy C, 1992. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," Journal of Finance, American Finance Association, vol. 47(4), pages 1461-1484, September.
    18. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
    19. repec:bla:ecorec:v:0:y:1992:i:0:p:105-16 is not listed on IDEAS
    20. Taylor, Mark P, 1989. "Charts, Noise and Fundamentals: A Study of the London Foreign Exchange Market," CEPR Discussion Papers 341, C.E.P.R. Discussion Papers.
    21. LeBaron, B., 1992. "Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?," Working papers 9222, Wisconsin Madison - Social Systems.
    22. Neftci, Salih N, 1991. "Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."," The Journal of Business, University of Chicago Press, vol. 64(4), pages 549-571, October.
    23. Stephen Brown & William Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers ysm85, Yale School of Management, revised 01 Apr 2008.
    24. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    25. Epps, Thomas W, 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, American Economic Association, vol. 65(4), pages 586-597, September.
    26. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    27. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    28. Blake LeBaron, "undated". "Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?," Working papers _005, University of Wisconsin - Madison.
    29. 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.
    30. Stephen J. Taylor, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 105-116, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic Learning in Co-ordination Games: a Simulation Approach," ROCK Working Papers 001, Department of Computer and Management Sciences, University of Trento, Italy, revised 21 May 1999.
    2. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    3. Gianni Degasperi & Luca Erzegovesi, 1999. "I mercati finanziari come sistemi complessi: il modello di Vaga," Alea Tech Reports 007, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Gianni Degasperi, 1999. "La dinamica delle crisi finanziarie: i modelli di Minsky e Kindleberger," Alea Tech Reports 005, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    5. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    6. Luca Erzegovesi, 1999. "Rischio e incertezza in finanza: classificazione e logiche di gestione," Alea Tech Reports 006, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    7. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    8. Flavio Bazzana & Francesca Debortoli, 2002. "Il rischio sistemico in finanza: una rassegna dei recenti contributi in letteratura," Alea Tech Reports 017, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857, July.
    3. 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.
    4. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    5. 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.
    6. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    7. 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.
    8. 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.
    9. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    10. 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.
    11. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    12. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
    13. Taylor, Mark & Hsu, Po-Hsuan, 2014. "Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in t," CEPR Discussion Papers 10018, C.E.P.R. Discussion Papers.
    14. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, July.
    15. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
    16. Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
    17. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    18. 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).
    19. 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.
    20. Neely, Christopher J., 2002. "The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits," Journal of International Economics, Elsevier, vol. 58(1), pages 211-232, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:trt:aleatr:003. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Luca Erzegovesi (email available below). General contact details of provider: https://edirc.repec.org/data/ditreit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.