Survey on Log-Normally Distributed Market-Technical Trend Data

René Brenner and Stanislaus Maier-Paape
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René Brenner: Institut für Mathematik, RWTH Aachen, Templergraben 55, D-52062 Aachen, Germany
Stanislaus Maier-Paape: Institut für Mathematik, RWTH Aachen, Templergraben 55, D-52062 Aachen, Germany

Risks, 2016, vol. 4, issue 3, 1-18

Abstract: In this survey, a short introduction of the recent discovery of log-normally-distributed market-technical trend data will be given. The results of the statistical evaluation of typical market-technical trend variables will be presented. It will be shown that the log-normal assumption fits better to empirical trend data than to daily returns of stock prices. This enables one to mathematically evaluate trading systems depending on such variables. In this manner, a basic approach to an anti-cyclic trading system will be given as an example.

Keywords: log-normal; market-technical trend; MinMax-process; trend statistics; market analysis; empirical distribution (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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