StockFetcher Forums · General Discussion · Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation<< >>Post Follow-up
nikoschopen
2,824 posts
msg #41496
Ignore nikoschopen
2/22/2006 3:17:58 PM

ABSTRACT:

Technical analysis, also known as charting, has been part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness to technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution conditioned on specific technical indicators such as head-and-shoulders or double-bottoms we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.


Full Text: http://web.mit.edu/alo/www/Papers/1705-1765.pdf



yepher
353 posts
msg #41521
Ignore yepher
2/23/2006 10:10:57 AM

Niko,

Thanks, I enjoying this document.

-- Yepher


yepher
353 posts
msg #41522
Ignore yepher
2/23/2006 10:21:10 AM

Looks like there maybe a few other interesting items there:

http://web.mit.edu/alo/www/articles.html


This one has a catchy title:
"Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, with Jiang Wang, Review of Financial Studies 13(2000), 257-300. "
http://web.mit.edu/alo/www/Papers/rfsfinal.pdf


-- Yepher


nikoschopen
2,824 posts
msg #41526
Ignore nikoschopen
2/23/2006 2:16:40 PM

Yepher, thx for the lead. Another catchy title is:

"Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, with Dmitry V. Repin and Brett N. Steenbarger".

http://web.mit.edu/alo/www/Papers/lorepsteen4.pdf


StockFetcher Forums · General Discussion · Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation<< >>Post Follow-up

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