Towards New Technical Indicators for Trading Systems and Risk Management

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 : We derive two new technical indicators for trading systems and risk management. They stem from trends in time series, the existence of which has been recently mathematically demonstrated by the same authors (A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009), and from higher order quantities which replace the familiar statistical tools. Recent fast estimation techniques of algebraic flavor are utilized. The first indicator tells us if the future price will be above or below the forecasted trendline. The second one predicts abrupt changes. Several promising numerical experiments are detailed and commented.
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Soumis le : dimanche 26 avril 2009 - 20:12:12
Dernière modification le : jeudi 10 mai 2018 - 02:06:41
Document(s) archivé(s) le : jeudi 23 septembre 2010 - 17:21:05


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  • HAL Id : inria-00370168, version 3



Michel Fliess, Cédric Join. Towards New Technical Indicators for Trading Systems and Risk Management. 15th IFAC Symposium on System Identification (SYSID 2009), Jul 2009, Saint-Malo, France. 2009. 〈inria-00370168v3〉



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