Analysing Technical Analysis

Spyros P. Skouras ()

Economics Working Papers from European University Institute

Abstract: This paper proposes an expected utility framework for the treatment of theoretical and empirical issues in technical analysis. Circumstances are found in which a technical analysts' behaviour is 'rationalisable' and schemes for learning such rational behaviour are considered. The decision theoretic perspective developed is shown to be useful in formalising a measure of trading rule optimality, in creating improved rules and in using these rules to create powerful model specification tests.

Keywords: MODELS; LEARNING (search for similar items in EconPapers)
JEL-codes: D83 C60 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco97/36

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