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, Polytechnique - X, 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
Contributeur : Michel Fliess <>
Soumis le : samedi 15 novembre 2008 - 22:25:38
Dernière modification le : jeudi 11 janvier 2018 - 06:22:13
Document(s) archivé(s) le : mercredi 22 septembre 2010 - 10:50:21

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Coventry-Finance.pdf
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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. 2008. 〈inria-00338099v2〉

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