Technical analysis and foreign exchange markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Münster [u.a.]
Lit
1999
|
| Series: | Empirische Wirtschaftsforschung und Ökonometrie
Bd. 4 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 79 - 82 |
| Physical Description: | 82 S. graph. Darst. |
| ISBN: | 3825842665 |
Staff View
MARC
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| 100 | 1 | |a Ludden, Ulrike |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Technical analysis and foreign exchange markets |c Ulrike Ludden |
| 264 | 1 | |a Münster [u.a.] |b Lit |c 1999 | |
| 300 | |a 82 S. |b graph. Darst. | ||
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| 490 | 1 | |a Empirische Wirtschaftsforschung und Ökonometrie |v Bd. 4 | |
| 500 | |a Literaturverz. S. 79 - 82 | ||
| 650 | 4 | |a Foreign exchange market | |
| 650 | 4 | |a International finance | |
| 650 | 4 | |a Money market | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
1 Introduction 1
2 Technical Analysis 3
2.1 The Background of Technical Analysis 4
2.2 Components of Technical Analysis 5
2.2.1 Basics of Trendanalysis 7
2.2.2 Techniques Trying to Exploit Trends 9
2.2.3 Oscillators 12
2.2.4 Reversal and Continuation Patterns 13
2.2.5 Money Management 17
2.3 Is Technical Analysis Destabilizing? 17
2.4 Critical Assessment: Why Might It Work, Why Not? 19
3 Profitability 25
3.1 Moving Averages 30
3.2 Filter Rules 31
3.3 Channel Rules 33
3.4 Patterns 34
3.5 Empirical Evidence from Financial Markets 35
3.6 Modeling Profitability 36
3.7 Forecasting Performance 37
3.8 Concluding Remarks 38
4 Empirical Analysis 40
4.1 Dummy Variables for Different Trading Rules 40
4.2 Profitability 43
4.3 The Reliability of Buy and Sell Signals 45
4.4 Profitability Reconsidered 51
4.5 Reproducing Neftci s (1991) Regression 56
CONTENTS
4.6 Other Regression Approaches 59
4.7 Lower Frequency Data 62
5 Concluding Remarks 67
A Exchange Rate Data 69
A.I Graphical Representation 69
A.2 Statistical Properties 73
B The Application of Technical Analysis 75
B.I The Distribution of Profits 75
B.2 Examples for the Occurence of Patterns 77
List of Figures
2.1 A bar chart (schematics) 6
2.2 A point and figure chart (schematics) 6
2.3 An uptrend (schematics) 7
2.4 A downtrend (schematics) 8
2.5 Resistance and support levels (schematics) 8
2.6 A trend channel (schematics) 9
2.7 Filter and channel rules (schematics) 10
2.8 10 , 50 , and 200 day moving averages 11
2.9 A flag (schematics) 14
2.10 An ascending triangle (schematics) 15
2.11 A rectangle (schematics) 15
2.12 The head and shoulders Pattern (schematics) 16
2.13 The ambiguity of trendlines 24
4.1 Modification of filter and channel rules for the calculation of profits. . . 43
4.2 A sample ascending triangle in 1981/82 47
A.I The development of the British Pound from 1971 to 1993 69
A.2 The development of the Canadian Dollar from 1971 to 1993 70
A.3 The development of the German Mark from 1971 to 1993 70
A.4 First differences of the German Mark from 1971 to 1993 71
A.5 The development of the Japanese Yen from 1971 to 1993 71
A.6 The development of the Swiss Franc from 1971 to 1993 72
B.I Trading rule profits (DCH10) 75
B.2 Trading rule profits (MA1020) 76
B.3 Trend channel and head and shoulders pattern in 1983 85 77
B.4 A sample ascending triangle in 1981/82 78
B.5 Some sample flags and pennants between March and September 1991. . 78
List of Tables
3.1 Annual percentage returns on moving average rules 30
3.2 Annual percentage returns on filter rules 32
3.3 Annual percentage returns on channel rules 34
4.1 Correlation coefficients of the dummy variables for the Swiss Franc. . . 42
4.2 Annual profits from trading on the foreign exchange market 44
4.3 Fractions of correct signals issued by technical dummy variables 49
4.4 Fractions and profits for the Swiss Franc, 1 day and 10 day horizons. . 53
4.5 Fractions and profits for the Swiss Franc, 20 day and 40 day horizons. . 54
4.6 Regression Results for 40 day forecasts for the German Mark 58
4.7 Regression results for 1 day forecasts for the Swiss Franc 60
4.8 Regression results for 20 day forecast for the Swiss Franc 61
4.9 Fractions of correct signals for different time horizons; moving averages. 62
4.10 Fractions of correct signals for different time horizons; channel and filter
rules 63
4.11 Annualized profits for daily and quarterly data 64
4.12 Comparison of the RMSE ratios of technical forecasts and a driftless
random walk for daily and monthly data 66
A.I Statistical properties of daily exchange rate returns 73
A.2 Statistical properties of logarithmic daily exchange rate returns 73
A.3 Statistical properties of monthly exchange rate returns 73
A.4 Statistical properties of logarithmic monthly exchange rate returns. . . 74
A.5 Statistical properties of quarterly exchange rate returns 74
A.6 Statistical properties of logarithmic quarterly exchange rate returns. . . 74
|
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| id | DE-604.BV012498685 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:28:41Z |
| institution | BVB |
| isbn | 3825842665 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008485794 |
| oclc_num | 76030190 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | 82 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Lit |
| record_format | marc |
| series | Empirische Wirtschaftsforschung und Ökonometrie |
| series2 | Empirische Wirtschaftsforschung und Ökonometrie |
| spelling | Ludden, Ulrike Verfasser aut Technical analysis and foreign exchange markets Ulrike Ludden Münster [u.a.] Lit 1999 82 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Empirische Wirtschaftsforschung und Ökonometrie Bd. 4 Literaturverz. S. 79 - 82 Foreign exchange market International finance Money market Internationaler Aktienmarkt (DE-588)4257200-9 gnd rswk-swf Technische Aktienanalyse (DE-588)4117177-9 gnd rswk-swf Internationaler Aktienmarkt (DE-588)4257200-9 s Technische Aktienanalyse (DE-588)4117177-9 s DE-604 Empirische Wirtschaftsforschung und Ökonometrie Bd. 4 (DE-604)BV011189548 4 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008485794&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ludden, Ulrike Technical analysis and foreign exchange markets Empirische Wirtschaftsforschung und Ökonometrie Foreign exchange market International finance Money market Internationaler Aktienmarkt (DE-588)4257200-9 gnd Technische Aktienanalyse (DE-588)4117177-9 gnd |
| subject_GND | (DE-588)4257200-9 (DE-588)4117177-9 |
| title | Technical analysis and foreign exchange markets |
| title_auth | Technical analysis and foreign exchange markets |
| title_exact_search | Technical analysis and foreign exchange markets |
| title_full | Technical analysis and foreign exchange markets Ulrike Ludden |
| title_fullStr | Technical analysis and foreign exchange markets Ulrike Ludden |
| title_full_unstemmed | Technical analysis and foreign exchange markets Ulrike Ludden |
| title_short | Technical analysis and foreign exchange markets |
| title_sort | technical analysis and foreign exchange markets |
| topic | Foreign exchange market International finance Money market Internationaler Aktienmarkt (DE-588)4257200-9 gnd Technische Aktienanalyse (DE-588)4117177-9 gnd |
| topic_facet | Foreign exchange market International finance Money market Internationaler Aktienmarkt Technische Aktienanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008485794&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV011189548 |
| work_keys_str_mv | AT luddenulrike technicalanalysisandforeignexchangemarkets |