Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Nonlinear Technical Trading Rules Profits And Relative Efficiency
Download Nonlinear Technical Trading Rules Profits And Relative Efficiency full books in PDF, epub, and Kindle. Read online Nonlinear Technical Trading Rules Profits And Relative Efficiency ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Nonlinear Technical Trading Rules Profits and Relative Efficiency by : Nicolas Wesner
Download or read book Nonlinear Technical Trading Rules Profits and Relative Efficiency written by Nicolas Wesner and published by . This book was released on 2004 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an application to the CAC40 daily's returns, a trading rule based on predictions given by the nearest neighbour method is shown to exhibit higher profitability than a buy-and-hold strategy only for low transactions costs and during high volatility episodes. Those results are interpreted as a sign of the relative inefficiency of the french stock market during abnormally high volatility episodes.
Book Synopsis Nonlinear Dynamics in Economics, Finance and the Social Sciences by : Gian Italo Bischi
Download or read book Nonlinear Dynamics in Economics, Finance and the Social Sciences written by Gian Italo Bischi and published by Springer Science & Business Media. This book was released on 2009-12-15 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Author :Ito, Akitoshi Publisher :London : Western Business School, University of Western Ontario ISBN 13 :9780771419195 Total Pages :19 pages Book Rating :4.4/5 (191 download)
Book Synopsis Technical Trading Rules and Nonlinear Time Series Models by : Ito, Akitoshi
Download or read book Technical Trading Rules and Nonlinear Time Series Models written by Ito, Akitoshi and published by London : Western Business School, University of Western Ontario. This book was released on 1996 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Intelligence Techniques for Trading and Investment by : Christian Dunis
Download or read book Computational Intelligence Techniques for Trading and Investment written by Christian Dunis and published by Routledge. This book was released on 2014-03-26 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational intelligence, a sub-branch of artificial intelligence, is a field which draws on the natural world and adaptive mechanisms in order to study behaviour in changing complex environments. This book provides an interdisciplinary view of current technological advances and challenges concerning the application of computational intelligence techniques to financial time-series forecasting, trading and investment. The book is divided into five parts. The first part introduces the most important computational intelligence and financial trading concepts, while also presenting the most important methodologies from these different domains. The second part is devoted to the application of traditional computational intelligence techniques to the fields of financial forecasting and trading, and the third part explores the applications of artificial neural networks in these domains. The fourth part delves into novel evolutionary-based hybrid methodologies for trading and portfolio management, while the fifth part presents the applications of advanced computational intelligence modelling techniques in financial forecasting and trading. This volume will be useful for graduate and postgraduate students of finance, computational finance, financial engineering and computer science. Practitioners, traders and financial analysts will also benefit from this book.
Book Synopsis On the Profitability of Technical Trading by : Toby Daniel Watson
Download or read book On the Profitability of Technical Trading written by Toby Daniel Watson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The sole use of price and related summary statistics in a technical trading strategy is an anathema to weak-form market efficiency. In practice, however, traders actively use technical analysis to make investment decisions which makes this an important, but often neglected, area for study. This thesis includes four empirical chapters, which provide important evidence on the profitability of technical trading. The results from the detailed analysis undertaken in this thesis have broad relevance to both academics and those in the investment community. Existing research has been predominantly confined to evaluating basic technical trading rules, such as moving averages. Crucially, this ignores chart patterns. Widely employed by practitioners, such patterns form a vital part of technical analysis. As the most important price pattern, the head and shoulders pattern is subjected to detailed and thorough examination in this thesis. A significant contribution is made by evaluating formations recognised and used by traders, in sharp contrast to limited existing studies. Furthermore, a new method is developed to establish how quickly profits from a head and shoulders strategy decay, which has important implications for traders. Existing research has identified both reversal and relative strength effects in financial asset returns. A key separator between these two findings is the formation and holding time over which portfolios of winners and losers are evaluated. Motivated by this, a very large sample of ultra high-frequency data is used to investigate intraday momentum and reversal effects. As well as being an important contribution to research in this field, the results are, once again, of relevance to practitioners. The need for further research into technical analysis is clearly demonstrated by point and figure charting. Whilst traders have made consistent use of the technique for around a century, the amount of existing research is extremely small. Point and figure has attractive data filtering properties, clear trading rules and is particularly suited to intraday technical analysis. Again, using a very large sample of high-frequency data, a detailed evaluation of the profitability of a point and figure trading strategy is undertaken.
Book Synopsis Capturing Profit with Technical Analysis by : Sylvain Vervoort
Download or read book Capturing Profit with Technical Analysis written by Sylvain Vervoort and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vervoort's trading book is a complete reference on how to apply technical analysis for profits. It explains Vervoort's own trading style in the language of active traders: You will actually find specific answers to the all-important ''where to open'' and ''when to close'' questions. And, to help you start profiting immediately, text is limited to what you really need to know and all techniques are illustrated with an application example.
Book Synopsis Market Timing and Moving Averages by : P. Glabadanidis
Download or read book Market Timing and Moving Averages written by P. Glabadanidis and published by Springer. This book was released on 2015-07-15 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
Book Synopsis A Companion to Economic Forecasting by : Michael P. Clements
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Download or read book SAEQ Issue 09 written by and published by SAEQ LTD. This book was released on 2016-09-28 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issue 09 July-August-September 2016 The Creation Of Fluid And Gas Mechanics Basis In The Micro-Cracked Channel R.S. Gurbanov, M.A. Mammadova, A.A. Hajiyev There are experimental investigations of the fluids flow in the small-sized channels, the hydraulic resistances results of which are more than the estimated ones according to theoretical formulas and different supposed explanations without the quantitative evolution have been given in the reference. Taking into consideration this situation in the mechanics we were conducted the experiments in special developed unit with different fluids: water, viscous and anomalous oils. The results of the numerous experimental investigations for deter- mining new effect of fluid mechanics in the micro-cracked channels have been given in this work. Firstly the experimental-estimated methodology in the “micro-crack fluid” system has been proposed and realized for the quantita- tive estimation of the hydraulic resistances. This approach allows to conduct hydrodynamic engineering estimations for fluids flow in the fractured-porous medium, in the mechanical engineering, in the lubrication systems of instrument engineering and also for solutions of the sealing problems in different branches of industry and medicine. Multi-Criterial Estimation Of The Level Of Corrosion Damage Of The Gas-Pipeline Areas In The Ambiguous Expert Opinions S.A. Aghammadova The linguistic model has-been developed for the estimation of the corrosion damage level of the gas-pipeline areas in the optimistic and the pessimistic expert opinions of the influencing factors. For solving of the given task generalization of the method of multi-criterial choice of the best alternative in the case of rules of fuzzy productions has been chosen, antecedents and consequents of which have been by fuzzy sets with multi-semi functions of belonging. Wavelet Method For Solving Problems Of Unsteady Fluid Filtration In The Crack-Porous Ring Type Formation O.A. Dyshin Based on the multiple-scale analysis in L^2(R^3) using discrete wavelet transform with separable orthonormal basis we’ve developed a method of sustainable approximate calculation of the classical solution of the initial-boundary value problem of unsteady fluid filtration in the crack-porous ring-type formation. The problem is reduced to solving ill-posed problem of finding the solution of linear polynomial equation given inaccurate data, when the approximate solution constructed by regularization method is stable with respect to error in differential equations ratios and boundary conditions set up, as well as set up right member falseness. Decision Making In The Multi-Criteria Problems Of Alternatives Using The Bayesian Interval Inference Methods R.F. Hajiyeva The Bayesian inference method is used in the decision process of the multi-criteria problems using the strength of information on the product rules. Using these mechanisms the point and interval estimates of the posterior probabilities are built on their prior probabilities, derived from the composite aggregation rules of the alternative description information of the decision-maker preferences defined by a fuzzy expert judgements. These decision logic is applied to the problem of selecting a candidate on the vacant faculty position in university Comparative Analysis Of Trading Systems Performances With Respect To Transaction Cost E.J. Janahmadov The purpose of this paper is to compare and analyze the performance of trading rules applied to the underlying and derivative products. Three different trading market indictors were chosen from the range of trading rules according to their performance relatively to Dow Jones Industrial Average. On the basis of these technical indicators the automated trading systems were developed and then applied to the underlying instrument such Dow Jones Industrial Average. The performances of trading systems and profit/loss indexes were compared and analyzed. The results are compared with “buy-and-hold” strategy and performance of underlying security. The results of the research intend to show the effect of the transactions costs on the performance of trading systems and optimal could be applied to invest into underlying or derivatives of underlying.
Book Synopsis Market Efficiency and Returns to Simple Technical Trading Rules by : Gary Gang Tian
Download or read book Market Efficiency and Returns to Simple Technical Trading Rules written by Gary Gang Tian and published by . This book was released on 2014 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did by Brock, Lakonishok and LeBaron (1992) and later by Bessembinder and Chan (1998), this paper examines predictive power and profitability of simple trading rules by expanding their universe of 26 rules to 412 rules. In order to find out the relationship between market efficiency and excess return by applying trading rules, we examine excess return over periods in US markets and also compare the excess returns between US market and Chinese markets. Our results found that there is no evidence at all supporting technical forecast power by these trading rules in US equity index after 1975. During the 1990's break-even costs turned to be negative, -0.06%, even failing to beat a buy-holding strategy in US equity market. In comparison, our results provide support for the technical strategies even in the presence of trading cost in Chinese stock markets.
Book Synopsis Do the Profits from Technical Trading Rules Reflect Inefficiencies? by : Hendrik Bessembinder
Download or read book Do the Profits from Technical Trading Rules Reflect Inefficiencies? written by Hendrik Bessembinder and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether the demonstrated effectiveness of technical analysis for forecasting equity returns can be reconciled with market efficiency. We find that evidence supportive of technical sell signals identifying periods of negative expected returns is confined to the pre-1940 subsamples. On average, transactions costs eliminate any additional returns to traders using the technical rules. We also demonstrate that technical analysis of an index constructed from CRSP returns, which is not typically observed by practicing technicians, is as useful for forecasting returns as is technical analysis of the widely observed DJIA. Finally, we show that, while technical analysis of individual equity price histories can forecast returns, it does not provide the ability to quot;beat the marketquot;. On balance, we conclude that there is little or no reason to view the evidence of technical forecast power as inconsistent with market efficiency.
Book Synopsis A History of the Theory of Investments by : Mark Rubinstein
Download or read book A History of the Theory of Investments written by Mark Rubinstein and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player." -- Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, Univ. of Pennsylvania; and retired partner, Goldman Sachs A History of the Theory of Investments is about ideas -- where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contributors to some of investment's most influential ideas and models.
Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan
Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Book Synopsis Performance of Technical Trading Rules by : Ioannis Psaradellis
Download or read book Performance of Technical Trading Rules written by Ioannis Psaradellis and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano and Wolf (2007) and Bajgrowicz and Scaillet (2012) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.
Book Synopsis A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange by : Elaine Loh
Download or read book A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange written by Elaine Loh and published by . This book was released on 2005 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.
Book Synopsis Evidence-Based Technical Analysis by : David Aronson
Download or read book Evidence-Based Technical Analysis written by David Aronson and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.
Book Synopsis Empirical Finance for Finance and Banking by : Robert Sollis
Download or read book Empirical Finance for Finance and Banking written by Robert Sollis and published by John Wiley & Sons. This book was released on 2012-02-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Finance for Finance and Banking provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role Written for students taking Master’s degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics. The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions.
