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Download or read book Profits on Technical Trading Rules and Time-varying Expected Returns, Evidence from Pacific Basin Equity Markets written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jacinta Chan
Publisher : Pearson UK
ISBN 13 : 0273751743
Total Pages : 241 pages
Book Rating : 4.2/5 (737 download)
Download or read book The Financial Times Guide to Technical Analysis written by Jacinta Chan and published by Pearson UK. This book was released on 2013-03-06 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Beginning with the very basics of technical analysis and market price behaviour, this book teaches you how to apply these concepts and principles to your own trading. With this comprehensive and straight talking guide you will soon be using the same successful techniques and formulas as the professionals. Learn how to: Understand those trading systems that will generate high returns Identify price patterns and trends Use the right technical indicators to get the best out of the markets Write and execute a trading plan that increases your chances of beating the market
Author : Bong-Chan Kho
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Risk Premia, Volatility, and Technical Trading Rule Profits written by Bong-Chan Kho and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM: The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual profits well within the 90% confidence intervals. Time-varying conditional volatility explains an additional 10% of the profits.
Author : Hung-Gay Fung
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets written by Hung-Gay Fung and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners) may yield large profits. This article expands this line of research by applying these trading rules to Pacific Basin markets. Striking differences in the pattern of portfolio returns between most Pacific Basin markets and those in the U.S. market are found. This article demonstrates that profitable trading strategies developed in the U.S. may not be successfully transferred to other national markets.
Author : Stephen J. Taylor
Publisher : Princeton University Press
ISBN 13 : 1400839254
Total Pages : 544 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Author : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (321 download)
Download or read book Equity Price Variation in Pacific Basin Countries written by Yin-Wong Cheung and published by . This book was released on 1994 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geoffrey Poitras
Publisher : World Scientific
ISBN 13 : 9814295388
Total Pages : 765 pages
Book Rating : 4.8/5 (142 download)
Download or read book Valuation of Equity Securities written by Geoffrey Poitras and published by World Scientific. This book was released on 2010-06-30 with total page 765 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a treatment of academic and practitioner approaches to equity security valuation. This book challenges conventional academic wisdom surrounding the ergodic properties of stochastic processes, guided by historical and philosophical insights. It presents the implications of a general stochastic interpretation of equity security valuation.
Author : A. Zaremba
Publisher : Springer
ISBN 13 : 1137476397
Total Pages : 264 pages
Book Rating : 4.1/5 (374 download)
Download or read book The Financialization of Commodity Markets written by A. Zaremba and published by Springer. This book was released on 2015-04-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The landscape of commodity markets has drastically changed in recent years. Once a market of refineries and mines, it has become the market of investment funds and commodity trading advisors. Given this transformation, are commodity investments still as beneficial as 20 or 30 years ago? This book is an attempt to answer these questions.
Author : Emilia Tantar
Publisher : Springer
ISBN 13 : 3642327265
Total Pages : 422 pages
Book Rating : 4.6/5 (423 download)
Download or read book EVOLVE- A Bridge between Probability, Set Oriented Numerics and Evolutionary Computation written by Emilia Tantar and published by Springer. This book was released on 2012-09-14 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to provide a strong theoretical support for understanding and analyzing the behavior of evolutionary algorithms, as well as for creating a bridge between probability, set-oriented numerics and evolutionary computation. The volume encloses a collection of contributions that were presented at the EVOLVE 2011 international workshop, held in Luxembourg, May 25-27, 2011, coming from invited speakers and also from selected regular submissions. The aim of EVOLVE is to unify the perspectives offered by probability, set oriented numerics and evolutionary computation. EVOLVE focuses on challenging aspects that arise at the passage from theory to new paradigms and practice, elaborating on the foundations of evolutionary algorithms and theory-inspired methods merged with cutting-edge techniques that ensure performance guarantee factors. EVOLVE is also intended to foster a growing interest for robust and efficient methods with a sound theoretical background. The chapters enclose challenging theoretical findings, concrete optimization problems as well as new perspectives. By gathering contributions from researchers with different backgrounds, the book is expected to set the basis for a unified view and vocabulary where theoretical advancements may echo in different domains.
Author : Dr Saif Siddiqui
Publisher : Dr Saif Siddiqui
ISBN 13 : 8192233146
Total Pages : 845 pages
Book Rating : 4.1/5 (922 download)
Download or read book Emerging Issues in Finance written by Dr Saif Siddiqui and published by Dr Saif Siddiqui. This book was released on 2017-10-11 with total page 845 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited Conference Proceedings Volume I
Author : 呂宗勳
Publisher : 索引數位股份有限公司
ISBN 13 : 9869343503
Total Pages : pages
Book Rating : 4.8/5 (693 download)
Download or read book 單根K線的預測能力，The Predictive Power of Single-Line Patterns of Candlestick Charting written by 呂宗勳 and published by 索引數位股份有限公司. This book was released on 2016-07-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Candlestick technical analysis is an old trading technique that tracks the short-term price movements by employing the relationship between open, high, low, and close prices. The purpose of this thesis is to examine the predictive power of candlestick trading strategies by using the Taiwan 151 component stocks daily data for the period from 2 January 1992 to 31 December 2009. The main contribution of this thesis is using a fourprice- level approach to categorize the single-line patterns constructed by candlestick charting in a systematical manner. The approach adopted in this thesis permits us to release for the limitation of recognition in a manner not previously possible. Moreover, we not only consider transaction costs and risk but also mitigate data-snooping problems conscientiously by several appropriate methods, including the bootstrap methodology and sub-sample and out-of-sample tests. We find evidence that four patterns are profitable for the Taiwan stock market after transaction costs, including one bullish pattern and three bearish ones. K線技術分析是一種歷史悠久的交易技巧，它利用開盤價、最高 價、最低價與收盤價來追蹤短期價格的變動。本文的目的是以台灣加權 指數151支成份股，1992年1月2日到2009年12月31日的日資料為樣本來 檢驗K線交易策略的預測能力。最主要的貢獻是本文使用一個系統化的 檢驗方式-四價分析法，這方法可以將單根K線完整地分類。這個方法也 解除了過去對K線型態認定上的限制。另外，我們不只考慮了交易成本 與風險，也用了數種適當的方法來解決資料探勘的問題，包括拔靴法以 及切割樣本和樣本外檢驗。本文的結論發現，在扣除交易成本後，有四 種單根K線確實在台灣股市具有獲利能力，其中包含一個買進訊號與三 個賣出訊號。
Author : Brent William Ambrose
Publisher :
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.3/5 (243 download)
Download or read book The Economic Consequences of Increased Disclosure written by Brent William Ambrose and published by . This book was released on 2002 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary Gang Tian
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Camillo Lento
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)
Download or read book Tests of Technical Trading Rules in the Asian-Pacific Equity Markets written by Camillo Lento and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the effectiveness of nine technical trading rules in eight Asian-Pacific equity markets for periods ranging from January 1987 to November 2005. The annualized returns from each trading rule are compared to a naive buy-and-hold strategy to determine profitability. The TSEC, Straits Times, Hang Seng, Jakarta, KOSPI and the BSE emerge as equity markets where technical trading rules may be profitable. There is no evidence of profitability for the other two markets, the Nikkei and the All Ordinaries. The results reveal that 56 out of the 72 (77.8 per cent) trading rule variants tested on all data sets, disregarding statistical significance, were profitable after accounting for transaction costs. The results are important as they provide investors with information about the Asian-Pacific equity markets that can be used to determine optimal asset allocations and to further diversify portfolios.
Author : Cheng-Few Lee
Publisher : Emerald Group Publishing
ISBN 13 : 1838673652
Total Pages : 188 pages
Book Rating : 4.8/5 (386 download)
Download or read book Advances in Pacific Basin Business, Economics and Finance written by Cheng-Few Lee and published by Emerald Group Publishing. This book was released on 2020-09-09 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Asia Pacific Journal of Economics & Business written by and published by . This book was released on 2005 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
