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Towards new technical indicators for trading systems and risk management

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  • Michel Fliess

    (LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, ALIEN - Algebra for Digital Identification and Estimation - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - Inria Saclay - Ile de France - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Cédric Join

    (ALIEN - Algebra for Digital Identification and Estimation - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - Inria Saclay - Ile de France - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

We derive two new technical indicators for trading systems and risk management. They stem from trends in time series, the existence of which has been recently mathematically demonstrated by the same authors (A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009), and from higher order quantities which replace the familiar statistical tools. Recent fast estimation techniques of algebraic flavor are utilized. The first indicator tells us if the future price will be above or below the forecasted trendline. The second one predicts abrupt changes. Several promising numerical experiments are detailed and commented.

Suggested Citation

  • Michel Fliess & Cédric Join, 2009. "Towards new technical indicators for trading systems and risk management," Post-Print inria-00370168, HAL.
    • Handle: RePEc:hal:journl:inria-00370168
    DOI: 10.3182/20090706-3-FR-2004.00239
    Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00370168v4
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    File URL: https://inria.hal.science/inria-00370168v4/document
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    Citations

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    Cited by:

    1. Michel Fliess & Cédric Join, 2009. "Systematic risk analysis: first steps towards a new definition of beta," Post-Print inria-00425077, HAL.
    2. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? [A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?]," Post-Print hal-00585152, HAL.
    3. Michel Fliess & C'edric Join, 2010. "Delta Hedging in Financial Engineering: Towards a Model-Free Approach," Papers 1005.0194, arXiv.org.
    4. Michel Fliess & C'edric Join & Fr'ed'eric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?," Papers 1104.2124, arXiv.org, revised May 2011.
    5. Michel Fliess & Cédric Join, 2010. "Delta Hedging in Financial Engineering: Towards a Model-Free Approach," Post-Print inria-00479824, HAL.

    More about this item

    Keywords

    Quantitative Finance; technical analysis; trading systems; risk management; trends; technical indicators; time series;
    All these keywords.

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