Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Michel Fliess and C\'edric Join
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Michel Fliess: LIX, INRIA Saclay - Ile de France
C\'edric Join: INRIA Saclay - Ile de France, CRAN

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Abstract: New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting, i.e., via repeated identifications of low order linear difference equations on sliding short time windows. Several convincing computer simulations, including the prediction of the position and of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential algebra are the main mathematical tools.

Date: 2008-11, Revised 2008-11
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Published in IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis) (2008)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0811.1561

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