Autore
Skouras, Spyros

Titolo
Analysing technical analysis
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1997 - Fascicolo: 36 - Pagina iniziale: 1 - Pagina finale: 36

This paper proposes an expected utility framework for the treatment of theoretical and empirical issues in technical analysis. Circumstances are found in which a technical analysts' behaviour is 'rationalisable' aud schemes for learning such rational behaviour are considered. The decision theoretic perspective developed is shown to be useful in formalising a measure of trading rule optimality, in creating improved rules and in using these rules to create powerful model specification tests. The framework is shown to be useful in relating the efficacy of technical analysis to the efficiency of financial markets and an empirical analysis of this relationship is provided.



Testo completo: http://hdl.handle.net/1814/645

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