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Survey on log-normally distributed market-technical trend data

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  • Ren'e Kempen
  • Stanislaus Maier-Paape

Abstract

In this survey, a short introduction in 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 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

  • Ren'e Kempen & Stanislaus Maier-Paape, 2016. "Survey on log-normally distributed market-technical trend data," Papers 1605.03559, arXiv.org.
    • Handle: RePEc:arx:papers:1605.03559
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    File URL: http://arxiv.org/pdf/1605.03559
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    References listed on IDEAS

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    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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