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

Michel Fliess 1, 2 Cédric Join 2, 3
2 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Ecole Centrale de Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
Abstract : 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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https://hal.inria.fr/inria-00338099
Contributor : Michel Fliess <>
Submitted on : Saturday, November 15, 2008 - 10:25:38 PM
Last modification on : Tuesday, November 24, 2020 - 2:18:20 PM
Long-term archiving on: : Wednesday, September 22, 2010 - 10:50:21 AM

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

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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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