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Survey on Log-Normally Distributed Market-Technical Trend Data

Author

Listed:
  • René Brenner

    (Institut für Mathematik, RWTH Aachen, Templergraben 55, D-52062 Aachen, Germany
    These authors contributed equally to this work.)

  • Stanislaus Maier-Paape

    (Institut für Mathematik, RWTH Aachen, Templergraben 55, D-52062 Aachen, Germany
    These authors contributed equally to this work.)

Abstract

In this survey, a short introduction of the recent discovery of log-normally-distributed market-technical trend data will be given. The results of the statistical evaluation of typical market-technical trend variables will be presented. It will be shown that the log-normal assumption fits better to empirical trend data than to daily returns of stock prices. This enables one to mathematically evaluate trading systems depending on such variables. In this manner, a basic approach to an anti-cyclic trading system will be given as an example.

Suggested Citation

  • René Brenner & Stanislaus Maier-Paape, 2016. "Survey on Log-Normally Distributed Market-Technical Trend Data," Risks, MDPI, vol. 4(3), pages 1-18, July.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:3:p:20-:d:73301
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    References listed on IDEAS

    as
    1. Stanislaus Maier-Paape & Andreas Platen, 2015. "Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process," Papers 1504.06235, arXiv.org.
    2. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    5. Stanislaus Maier-Paape, 2015. "Automatic one two three," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 247-260, February.
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    Cited by:

    1. Wilhelm Berghorn & Martin T. Schulz & Markus Vogl & Sascha Otto, 2021. "Trend Momentum II: Driving Forces of Low Volatility and Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 300-319, May.

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