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Technical Trading Rules

Technical Trading Rules

Philipp Jan Siegert

51,59 €
IVA incluido
Disponible
Editorial:
KS OmniScriptum Publishing
Año de edición:
2007
Materia
Banca
ISBN:
9783836401777
51,59 €
IVA incluido
Disponible

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Sobre IBD

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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