Financial option prices have experienced excessive volatility in response to the recent economic and financial crisis. During the crisis periods, financial markets are, in general, subject to an abrupt regime shift which imposes a significant challenge to option pricing models. In this context,...

This paper investigates the multiscale (frequency-dependent) relationship between technical trading profitability and feedback trading effects in the Canada/U.S. dollar foreign exchange market. The results suggest weak evidence that technical trading activities of financial and non-financial...

This article tests the profitability of the Combined Signal Approach (CSA) (Lento and Gradojevic, 2007) in the Asian-Pacific equity markets. The CSA is based on the premise that the consensus agreement of profitable trading signals should outperform any single signal. The results present further...

This article compares a trending approach to the filter trading rule against a contrarian approach. It is found that, after adjusting for transaction costs, the contrarian approach consistently outperforms the trending approach and is able to earn returns in excess of the buy-and-hold trading...

The purpose of this article is to provide new insights into the relationship between technical analysis and implied market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three trending trading rule signals are calculated on the...

The profitability of technical analysis has been investigated extensively, with inconsistent results. This paper seeks to develop new insights into the profitability of technical trading rules through a synthesis of fractal geometry and technical analysis. The Hurst exponent (H) emerged from...

The profitability of nine trading rules and the Hurst exponent (H) were calculated on fifteen of the largest global equity markets in order to determine if technical trading rules are more profitable in markets characterized by long-term dependencies. Pearson correlation and regression analysis...

This study examines the effectiveness of nine technical trading rules in eight Asian-Pacific equity markets for periods ranging from January 1987 to November 2005. The annualized returns from each trading rule are compared to a naive buy-and-hold strategy to determine profitability. The TSEC,...