Towards new technical indicators for trading systems and risk management

Michel Fliess and Cédric Join ()
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Michel Fliess: LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Cédric Join: ALIEN - Algebra for Digital Identification and Estimation - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: We derive two new technical indicators for trading systems and risk management. They stem from trends in time series, the existence of which has been recently mathematically demonstrated by the same authors (A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009), and from higher order quantities which replace the familiar statistical tools. Recent fast estimation techniques of algebraic flavor are utilized. The first indicator tells us if the future price will be above or below the forecasted trendline. The second one predicts abrupt changes. Several promising numerical experiments are detailed and commented.

Keywords: Quantitative Finance; technical analysis; trading systems; risk management; trends; technical indicators; time series (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00370168v4
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Published in 15th IFAC Symposium on System Identification, 2009, Saint-Malo, France. pp.1435-1440, ⟨10.3182/20090706-3-FR-2004.00239⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:inria-00370168

DOI: 10.3182/20090706-3-FR-2004.00239

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