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Technical analysis compared to mathematical models based methods under parameters mis-specification
13 references·1 citing·40 second hop
Technical analysis compared to mathematical models based methods under parameters mis-specification (2006)Technical analysis compared to mathematic…Technical Analysis from A to Z (2005)Technical Analysis from A to ZA note on Bayesian detection of change-points with an expected miss criterion (2003)A note on Bayesian detection …Quickest Detection Problems in the Technical Analysis of the Financial Data (2002)Quickest Detection Problems i…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Foundations of Technical Anal…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…A New Look at Optimal Stopping Problems related to Mathematical Finance (1997)A New Look at Optimal Stoppin…Lectures on the Mathematics of Finance (1996)Lectures on the Mathematics o…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…On some exponential functionals of Brownian motion (1992)On some exponential functiona…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On a stochastic version of the trading rule “Buy and Hold” (2009)On a stochastic version of th…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A pricing method for options based on average asset values (1990)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Continuous Martingales and Brownian Motion (1999)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)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)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)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Econometrics of Financial Markets (1997)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Forecasting Stock Returns (2013)Catastrophe Risk Bonds (2000)Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach (2002)Optimal investment decisions when time-horizon is uncertain (2008)Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Application of evolutionary computation for rule discovery in stock algorithmic trading: A literature review (2015)Financial news predicts stock market volatility better than close price (2018)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)A survey and some generalizations of Bessel processes (2003)A jump to default extended CEV model: an application of Bessel processes (2006)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation1,118 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 2005Technical Analysis from A to Z226 cited
  • 1996Lectures on the Mathematics of Finance180 cited
  • 2002Quickest Detection Problems in the Technical Analysis of the Financial Data106 cited
  • 1997A New Look at Optimal Stopping Problems related to Mathematical Finance86 cited
  • 2003A note on Bayesian detection of change-points with an expected miss criterion24 cited

Cited by

  • 2009On a stochastic version of the trading rule “Buy and Hold”22 cited

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