Financial Forecast for the Relative Strength Index
Rodrigo Alfaro () and
Andres Sagner
MPRA Paper from University Library of Munich, Germany
Abstract:
In this paper we provide a closed-form expression for one of the most popular index in Technical Analysis: the Relative Strength Index (RSI). Given that we show how the standard binomial model for the stock price can be used to predict RSI. The algorithm is as simple as to code a standard European option. In an empirical application to the Chilean exchange rate we show how the method works having a better out of sample performance than an ARMA(1,1) model.
Keywords: Relative Strength Index; Binomial Model; Financial Forecast (search for similar items in EconPapers)
JEL-codes: E37 G14 (search for similar items in EconPapers)
Date: 2010-04, Revised 2010-04
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/25913/1/MPRA_paper_25913.pdf original version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:25913
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().