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Technical analysis compared to mathematical models based methods under parameters mis-specification

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  • Blanchet-Scalliet, Christophette
  • Diop, Awa
  • Gibson, Rajna
  • Talay, Denis
  • Tanre, Etienne

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Suggested Citation

  • Blanchet-Scalliet, Christophette & Diop, Awa & Gibson, Rajna & Talay, Denis & Tanre, Etienne, 2007. "Technical analysis compared to mathematical models based methods under parameters mis-specification," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1351-1373, May.
    • Handle: RePEc:eee:jbfina:v:31:y:2007:i:5:p:1351-1373
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    References listed on IDEAS

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    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    3. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
    4. Karatzas Ioannis, 2003. "A note on Bayesian detection of change-points with an expected miss criterion," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 3-14, January.
    5. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
    6. repec:bla:jfinan:v:55:y:2000:i:4:p:1705-1770 is not listed on IDEAS
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    Cited by:

    1. Zhenya Liu & Yuhao Mu, 2022. "Optimal Stopping Methods for Investment Decisions: A Literature Review," IJFS, MDPI, vol. 10(4), pages 1-23, October.
    2. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    3. Shiryaev Albert & Novikov Alexander A., 2009. "On a stochastic version of the trading rule “Buy and Hold”," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 289-302, July.
    4. Stein, Jerome L., 2010. "A tale of two debt crises: a stochastic optimal control analysis," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-24.
    5. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2016. "Robustness of mathematical models and technical analysis strategies," Papers 1605.00173, arXiv.org.
    6. Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    7. Vicky Henderson & Saul Jacka & Ruiqi Liu, 2021. "The Support and Resistance Line Method: An Analysis via Optimal Stopping," Papers 2103.02331, arXiv.org.
    8. Jerome L. Stein, 2009. "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series 2539, CESifo.
    9. Jun Maeda & Saul D. Jacka, 2017. "An Optimal Stopping Problem Modeling Technical Analysis," Papers 1707.05253, arXiv.org, revised Mar 2020.
    10. Savas Dayanik & Semih O Sezer, 2023. "Model Misspecification in Discrete Time Bayesian Online Change Detection," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-27, March.
    11. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1089-1100, June.

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