World Scientific Publishing Company
International Trade in Goods : Evidence from Transaction Data
$170.22
VDM Verlag Dr. Mueller E.K.
Technical Trading Rules: Empirical Evidence from Future Data
Product Code:
9783836401777
ISBN13:
9783836401777
Condition:
New
$46.30
Technical Trading Rules: Empirical Evidence from Future Data
$46.30
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.
| Author: Philipp Jan Siegert |
| Publisher: VDM Verlag Dr. Mueller E.K. |
| Publication Date: Feb 01, 2007 |
| Number of Pages: 92 pages |
| Binding: Paperback or Softback |
| ISBN-10: 3836401770 |
| ISBN-13: 9783836401777 |
