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Communication Dans Un Congrès Année : 2008

Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Résumé

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting, i.e., via repeated identifications of low order linear difference equations on sliding short time windows. Several convincing computer simulations, including the prediction of the position and of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential algebra are the main mathematical tools.
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Dates et versions

inria-00338099 , version 1 (10-11-2008)
inria-00338099 , version 2 (15-11-2008)

Identifiants

  • HAL Id : inria-00338099 , version 2
  • ARXIV : 0811.1561

Citer

Michel Fliess, Cédric Join. Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis), Nov 2008, Coventry, United Kingdom. ⟨inria-00338099v2⟩
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