Technical Trading Rules - Empirical Evidence from Future Data (Paperback)

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.

General

Imprint:	VDM Verlag Dr. Mueller E.K.
Country of origin:	Germany
Release date:	February 2007
First published:	February 2007
Authors:	Philipp Jan Siegert
Dimensions:	244 x 170 x 5mm (L x W x T)
Format:	Paperback - Trade
Pages:	92
ISBN-13:	978-3-8364-0177-7
Categories:	Books > Business & Economics > Finance & accounting > Accounting > Financial accounting Books > Business & Economics > Finance & accounting > Finance > Banking Books > Money & Finance > Banking Promotions
LSN:	3-8364-0177-0
Barcode:	9783836401777

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