Financial Forecast for the Relative Strength Index

In this paper we provide a closed-form expression for one of the most popular index in Technical Analysis: the Relative Strength Index (RSI). Given that we show how the standard binomial model for the stock price can be used to predict RSI. The algorithm is as simple as to code a standard European option. In an empirical application to the Chilean exchange rate we show how the method works having a better out of sample performance than an ARMA(1,1) model.

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Year of publication:	2010-04
Authors:	Alfaro, Rodrigo ; Sagner, Andres

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Alfaro, Rodrigo and Sagner, Andres (2010): Financial Forecast for the Relative Strength Index.
Classification:	G14 - Information and Market Efficiency; Event Studies ; E37 - Forecasting and Simulation
Source:	BASE

Persistent link: https://www.econbiz.de/10015223703