A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency

Francesco Bartolucci (), Alessandro Cardinali () and Fulvia Pennoni ()
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Francesco Bartolucci: University of Perugia, Department of Economics
Alessandro Cardinali: Plymouth University, School of Computing and Mathematics
Fulvia Pennoni: University of Milano-Bicocca, Department of Statistics and Quantitative Methods

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 101-105 from Springer

Abstract: Abstract We propose a generalized version of the moving average converge divergence (MACD) indicator widely employed in the technical analysis and trading of financial markets. By assuming a martingale model with drift for prices, as well as for their transformed values, we propose a test statistic for the local drift and derive its main theoretical properties. The semi-strong market efficiency hypothesis is assessed through a bootstrap test. We conclude by applying the indicator to monitor the crude oil prices over a 6 years period.

Keywords: Martingales; Nonparametric bootstrap test; Trading strategies (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_18

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DOI: 10.1007/978-3-319-89824-7_18

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