Item description for Technical Trading Rules: Empirical Evidence from Future Data by Jan Siegert Philipp...
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.
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Est. Packaging Dimensions: Length: 9.61" Width: 6.69" Height: 0.19" Weight: 0.35 lbs.
Release Date Feb 1, 2007
Publisher VDM Verlag Dr. Mueller e.K.
ISBN 3836401770 ISBN13 9783836401777
Availability 58 units. Availability accurate as of May 24, 2017 04:34.
Usually ships within one to two business days from La Vergne, TN.
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