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Technical Trading Rules: Empirical Evidence from Future Data by Philipp Jan Siegert (Paperback, 2007)

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About this product

Product Information

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.

Product Identifiers

PublisherVdm Verlag Dr. Mueller E.K.

ISBN-139783836401777

eBay Product ID (ePID)26049052650

Product Key Features

Number of Pages92 Pages

LanguageEnglish

Publication NameTechnical Trading Rules: Empirical Evidence from Future Data

Publication Year2007

SubjectAccounting, Finance

TypeTextbook

AuthorPhilipp Jan Siegert

FormatPaperback

Dimensions

Item Height244 mm

Item Weight159 g

Item Width170 mm

Additional Product Features

Country/Region of ManufactureGermany

Title_AuthorPhilipp Jan Siegert