UID:
almahu_9949697876402882
Format:
1 online resource (468 p.)
Edition:
2nd ed,.
ISBN:
1-281-01396-X
,
9786611013967
,
0-08-049343-2
Series Statement:
Quantitative finance series
Content:
Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. 'Advanced Trading Rules' demonstrates how to apply econometrics, computer modelling, technical and quantitative anal
Note:
Description based upon print version of record.
,
Front Cover; Advanced trading rules; Copyright Page; Contents; Foreword; List of Contributors; Introduction; Chapter 1. Technical trading rules and regine shifts in foreign exchange; 1.1 Introduction; 1.2 Technical trading rules; 1.3 Null models for foreign exchange movements; 1.4 Empirical results; 1.5 Economic significance of trading-rule profits; 1.6 Conclusions; Chapter 2. Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation; 2.1 Introduction; 2.2 Smoothing estimators and kernel regression; 2.3 Automating technical analysis
,
2.4 Is technical analysis informative?2.5 Monte Carlo analysis; 2.6 Conclusions; Chapter 3. Mean-variance analysis, trading rules and emerging markets; 3.1 Introduction; 3.2 Data and portfolio construction; 3.3 Results; 3.4 Conclusions; Chapter 4. Expected returns of directional forecasters; 4.1 Introduction; 4.2 Trading rules; 4.3 Autoregressive models; 4.4 Technical indicators; 4.5 Conditional heteroskedasticity and linear rule returns; 4.6 Conclusions; 4.7 Appendix; Chapter 5. Some exact results for moving-average trading rules with applications to UK indices; 5.1 Introduction
,
5.2 The moving-average trading rule5.3 The stochastic process for asset returns; 5.4 The moving-average (infinite,1) rule; 5.5 Applications to UK stock and futures markets; 5.6 Conclusions; Chapter 6. The portfolio distribution of directional strategies; 6.1 Introduction; 6.2 Portfolio returns of directional strategies; 6.3 Exact distribution under the normal random walk assumption; 6.4 Generalization; 6.5 Conclusions; Chapter 7. The profits to technical analysis in foreign exchange markets have not disappeared; 7.1 Introduction; 7.2 Data and methodology; 7.3 Trading strategies; 7.4 Results
,
7.5 Conclusions Chapter 8. The economic value of leading edge techniques for exchange rate prediction; 8.1 Introduction; 8.2 Basic concepts, data processing and modelling procedure; 8.3 Empirical results and further developments; 8.4 Conclusions; Chapter 9. Is more always better? Head-and-shoulders and filter rules in foreign exchange markets; 9.1 Introduction; 9.2 Defining filter rules and head-and-shoulders patterns; 9.3 Measuring profits from technical signals; 9.4 Empirical profitability of the technical trading rules in FX data
,
9.5 The incremental profitability of the head-and-shoulders pattern9.6 Conclusions; Chapter 10. Informative spillovers in the currency markets: a practical approach through exogenous trading rules; 10.1 Introduction; 10.2 The series and their statistical properties; 10.3 The endogeneous and exogenous trading rules; 10.4 Conclusions; Chapter 11. Stop-loss rules as a monitoring device: theory and evidence from the bond futures market; 11.1 Introduction; 11.2 The model; 11.3 A test of the existence of stop-loss strategies; 11.4 Empirical results; 11.5 Conclusions; 11.6 Statistical appendix
,
11.7 Mathematical appendix
,
English
Additional Edition:
ISBN 0-7506-5516-X
Language:
English
