Technical Analysis -- Preprocessing Procedures -- Assessing the Predictive Performance of Technical Analysis -- Horizontal Patterns -- Zigzag Patterns -- Circular Patterns -- Technical Indicators -- A Statistical Assessment -- Dynamic Time Warping for Pattern Recognition.

In this paper, in the context of an Ornstein-Uhlenbeck temperature process, we use neural networks to examine the time dependence of the speed of the mean reversion parameter α of the process. We estimate non-parametrically with a neural network a model of the temperature process and then...

Wind is considered to be a free, renewable and environmentally friendly source of energy. However, wind farms are exposed to excessive weather risk since the power production depends on the wind speed, the wind direction and the wind duration. This risk can be successfully hedged using a...

Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach – Herding is examined over portfolios formed on beta and size of the selected stocks. The...

Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed on beta and size of the selected stocks. The detection...

This study uses a novel approach for capturing time variation in betas whose pattern is treated as a function of market returns. A two-factor model (TFM) is constructed using estimated coefficients of a nonlinear regression. The model is tested against the CAPM and the Fama and French...

Purpose – The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/methodology/approach – Different GARCH models,...