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Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap
9 references·0 citing·45 second hop
Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap (2010)Stop-losses, maximum drawdown-at-risk and…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Theory of financial risks : from statistical physics to risk management (2000)Theory of financial risks : f…Portfolio Optimization with Drawdown Constraints (2000)Portfolio Optimization with D…Encyclopedia of Chart Patterns (2000)Encyclopedia of Chart PatternsAn Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts (1999)Methodical Madness: Technical…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…The predictive power of price patterns (1998)The predictive power of price…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Empirical exchange rate models of the seventies (1983)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Intraday technical trading in the foreign exchange market (2003)Extended evidence on the use of technical analysis in foreign exchange (2006)Profitability of technical stock trading: Has it moved from daily to intraday data? (2008)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Distortion Risk Measures in Portfolio Optimization (2009)Multi-objective portfolio optimization considering the dependence structure of asset returns (2015)Drawdown: From Practice to Theory and Back Again (2017)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Market Statistics and Technical Analysis: The Role of Volume (1994)Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)The role of self-efficacy, goal, and affect in dynamic motivational self-regulation (2009)Profitability of Candlestick Charting Patterns in the Stock Exchange of Thailand (2017)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Econophysics review: I. Empirical facts (2011)On the Modeling of Financial Time Series (2014)Multifractal analysis of financial markets: a review (2019)The Predictive Power of "Head-and-Shoulders" Price Patterns in the U.S. Stock Market (2006)Price trends and patterns in technical analysis: A theoretical and empirical examination (2009)Pattern graph tracking-based stock price prediction using big data (2017)
this work references cited by second hop

References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2000Theory of financial risks : from statistical physics to risk management420 cited
  • 1999Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts158 cited
  • 2000Encyclopedia of Chart Patterns122 cited
  • 1998The predictive power of price patterns115 cited
  • 2000Portfolio Optimization with Drawdown Constraints82 cited

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