Technical Trading Rules: Empirical Evidence from Future Data » książka
Technical Trading Rules: Empirical Evidence from Future Data
ISBN-13: 9783836401777 / Angielski / Miękka / 2007 / 92 str.
Most banks and the recently upcoming hedge fund industry rely to a different extent on technical trading rules and technical analysis. The fact that these technical trading rules yield superior returns in practice raises several questions that will be examined in this book. First, one of the most crucial questions is in which assets technical trading rules perform extraordinarily well. This analysis is based on a risk-return approach with an assessment of the negative standard deviation of each asset as a risk indicator. Second, the statistical significance of technical trading is examined by using a simulation method known as bootstrap. Third, null models are simulated to answer the question to what extent autoregressive models and GARCH models are able to capture the dependencies in the future time series. Finally, a rule optimizer algorithm is developed to assess if any rule parameters yield superior returns over a wide range of assets.
Most banks and the recently upcoming hedge fund industry rely to a differentextent on technical trading rules and technical analysis. The fact that thesetechnical trading rules yield superior returns in practice raises severalquestions that will be examined in this book. First, one of the most crucialquestions is in which assets technical trading rules perform extraordinarilywell. This analysis is based on a risk-return approach with an assessment ofthe negative standard deviation of each asset as a risk indicator. Second, thestatistical significance of technical trading is examined by using a simulationmethod known as bootstrap. Third, null models are simulated to answer thequestion to what extent autoregressive models and GARCH models are ableto capture the dependencies in the future time series. Finally, a rule optimizeralgorithm is developed to assess if any rule parameters yield superior returnsover a wide range of assets.
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