Technical analysis techniques versus mathematical models: boundaries of their validity domains. (English) Zbl 1194.91207
Niederreiter, Harald (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2004. Refereed proceedings of the sixth international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computation, Juan-les-Pins, France, June 7–10, 2004. Berlin: Springer (ISBN 3-540-25541-9/pbk). 15-30 (2006).
Summary: We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical analysis techniques when the model is misspecified. The comparisons are based on Monte Carlo simulations.
For the entire collection see [Zbl 1084.65005].
For the entire collection see [Zbl 1084.65005].
MSC:
| 91G80 | Financial applications of other theories |
| 91G60 | Numerical methods (including Monte Carlo methods) |
