Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains

Abstract : 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.
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Christophette Blanchet-Scalliet, Awa Diop, Rajna Gibson, Denis Talay, Etienne Tanré. Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains. Monte Carlo and Quasi-Monte Carlo Methods, 2004, Juan les Pins, France. ⟨hal-01692322⟩

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