Technical Analysis Compared to Mathematical Models Based Methods Under Misspecification

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical analysis techniques when the model is misspecified. The comparisons are based on Monte Carlo simulations.

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Year of publication:	2005-08-01
Authors:	Blanchet-Scaillet, Christophe ; Diop, Awa ; Gibson, Rajna ; Talay, Denis ; Tanr, Etienne ; Kaminski, Kathryn
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Stochastik \| Kapitalallokation \| virtual risk adjusted capital \| Portfoliomanagement \| portfolio management

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Extent:	750592 bytes 42 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 253 (2005)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C65 - Miscellaneous Mathematical Tools ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858764