WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?
Tóm tắt
Từ khóa
Tài liệu tham khảo
Alexander S.S., 1961, Price movements in speculative markets: trends or random walks, Industrial Management Review, 2, 7
Alexander S.S., 1964, Price movements in speculative markets: trends or random walks No. 2, Industrial Management Review, 5, 25
Bachelier L., 1900, Theorie de la speculation, 21
Brorsen B.W., 1987, Futures funds and price volatility, Review of Futures Markets, 6, 118
Cochrane J.H., 2001, Asset Pricing
Cooper M.andGulen H.(2004)Is time‐series based predictability evident in real‐time?Working paper Purdue University .
Cootner P.H., 1962, Stock prices: random vs. systematic changes, Industrial Management Review, 3, 24
Dimand R.W.andBen‐El‐Mechaiekh H.(2005)Louis Bachelier.Working paper Brock University .
Dooley M.P., 1983, Exchange Rate and Trade Instability: Causes, Consequences, and Remedies, 43
Edwards R.D., 1996, Technical Analysis of Stock Trends
Gehrig T.andMenkhoff L.(2003)Technical analysis in foreign exchange – the workhorse gains further ground.Discussion paper University of Hannover .
Gray R.W.andNielsen S.T.(1963)Rediscovery of some fundamental price behavior characteristics.Paper presented at the meeting of the Econometric Society held in Cleveland Ohio .
Grossman S.J., 1976, Information and competitive price systems, American Economic Review, 66, 246
Grossman S.J., 1980, On the impossibility of informationally efficient markets, American Economic Review, 70, 393
Houthakker H., 1961, Systematic and random elements in short‐term price movements, American Economic Review, 51, 164
Irwin S.H., 1984, Do technical analysts have holes in their shoes?, Review of Research in Futures Markets, 3, 264
Irwin S.H., 1997, A performance comparison of a technical trading system with ARIMA models for soybean complex prices, Advances in Investment Analysis and Portfolio Management, 4, 193
Koza J., 1992, Genetic Programming: On the Programming of Computers by Means of Natural Selection
Leuthold R.M., 1989, The Theory and Practice of Futures Markets
Maddala G.S., 1996, Handbook, 463
Menkhoff L., 1995, Persistent profitability of technical analysis on foreign exchange markets?, Banca Nazionale del Lavoro Quarterly Review, 193, 189
Neely C.J., 1997, Technical analysis in the foreign exchange market: a layman's guide, Federal Reserve Bank of St Louis, 23
Nison S., 1991, Japanese Candlestick Charting Techniques
Park C.andIrwin S.H.(2004)The profitability of technical analysis: a review.AgMAS Project Research Report No. 2004‐04 http://ssrn.com/abstract=603481.
Pring M.J., 2002, Technical Analysis Explained
Qi M.andWu Y.(2002)Technical trading‐rule profitability data snooping and reality check: evidence from the foreign exchange market.Working paper Kent State University .
Roberts M.C.(2003)Technical analysis in commodity markets: risk returns and value.Paper presented at the NCR‐134 conference St Louis Missouri .
Samuelson P.A., 1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41
Schwager J.D., 1996, Schwager on Futures: Technical Analysis
Schwert G.W., 2003, Handbook of the Economics of Finance, Vol. 1B: Financial Markets and Asset Pricing, 937
Smidt S., 1965, A test of serial independence of price changes in soybean futures, Food Research Institute Studies, 5, 117
Smidt S., 1965, Amateur
Stein J.L., 1987, The Economics of Futures Markets
Stengos T., 1996, Nonlinear Dynamics and Economics: Proceedings of the Tenth International Symposium on Economic Theory and Econometrics, 393
Sweeny R.J., 1986, Beating the foreign exchange market, Journal of Finance, 41, 163, 10.1111/j.1540-6261.1986.tb04497.x
Taylor S.J., 1986, Modelling Financial Time Series
Thompson S.R., 1987, The execution cost of trading in commodity futures markets, Food Research Institute Studies, 20, 141
Working H., 1949, The investigation of economic expectations, American Economic Review, 39, 150