Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains

Christophette Blanchet-Scalliet (), Awa Diop (), Rajna Gibson (), Denis Talay () and Etienne Tanré ()
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Christophette Blanchet-Scalliet: université Nice Sophia-Antipolis, Laboratoire Dieudonné
Awa Diop: INRIA, Projet OMEGA
Rajna Gibson: University of Zürich, NCCR FINRISK, Swiss Banking Institute
Denis Talay: INRIA, Projet OMEGA
Etienne Tanré: INRIA, Projet OMEGA

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2004, 2006, pp 15-30 from Springer

Abstract: Abstract We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical analysis techniques when the model is misspecified. The comparisons are based on Monte Carlo simulations.

Keywords: Brownian Motion; Stock Price; Risky Asset; Logarithmic Utility; Mathematical Strategy (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-31186-7_2

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DOI: 10.1007/3-540-31186-6_2

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