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1 UvA-DARE (Digital Academic Repository) Technical Analysis in Financial Markets Griffioen, G.A.W. Link to publication Citation for published version (APA): Griffioen, G. A. W. (2003). Technical Analysis in Financial Markets General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. UvA-DARE is a service provided by the library of the University of Amsterdam ( Download date: 21 Oct 2018

2 References Achelis, S.B. (1995), Technical Analysis from A to Z, McGraw-Hill, New York. Adriaanse, G. (2002), Technical Indicators, master thesis, University of Amsterdam. Alexander, S.S. (1961), Price Movements in Speculative Markets: Trends or Random Walks, Industrial Management Review 2, Alexander, S.S. (1964), Price movements in speculative markets: Trends or random walks, Number 2, Industrial Management Review 5, Allen, H., Taylor, M.P. (1990), Charts, Noise and Fundamentalists in the London Foreign Exchange Market, The Economic Journal 100, Arditti, F.D., McCollough, W.A. (1978), Can Analysts Distinguish Between Real and Randomly Generated Stock Prices? Financial Analysts Journal, Arthur, W.B., Holland, J.H., LeBaron, B., Palmer, R., Taylor, P. (1997), Asset pricing under endogenous expectations in an artificial stock market. In: Arthur, W.B., Durlauf, S.N., and Lane, D.A., eds., The economy as an evolving complex system II, Redwood City, Addison-Wesley. Bartlett, M.S. (1946), On the Theoretical Specification of Sampling properties of Autocorrelated Time Series, Journal of the Royal Statistical Society, Series B, 8, Bass, A.B. (1999), The Predictors: How a band of maverick physicists set out to beat Wall Street, Penguin Books Ltd, London. Bera, A.K., Higgins, M.L. (1993), Arch Models: Properties, Estimation and Testing, Journal of Economic Surveys 7, Bernstein, P.L. (1996), Against the Gods: the remarkable story of risk, John Wiley & Sons, Inc. Bessembinder, H., Chan, K. (1995), The profitability of technical trading strategies in the Asian stock markets, Pacific-Basin Finance Journal 3, Bessembinder, H., Chan, K. (1998), Market Efficiency and the Returns to Technical Analysis, Financial Management 27, Bodie, Z.. Kane, A., Marcus, A.J. (1996), Investments, Irwin. 285

3 286 References Bollerslev, T., Wooldridge, J.M. (1992), Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, Econometric Reviews 11, Boswijk, H.P. (1998), Unit Roots and Cointegration, University of Amsterdam, Lecture notes. Bouman, S., Jacobsen, B. (1997), The Halloween Indicator: Sell in May and go away, Chapter in thesis: Time Series Properties of Stock Returns, , University of Amsterdam. Box, G., Pierce, D. (1970), Distribution of Autocorrelations in Autoregressive Moving Average Time Series Models, Journal of the American Statistical Association 65, Brock, W.A., Hommes, C.H. (1997), A rational route to randomness, Econometrica 65, Brock, W.A., Hommes, C.H. (1997), Models of complexity in economics and finance, System Dynamics in Economic and Financial Models, ed C. Hey et al (New York: Wiley), Brock, WA., Hommes, C.H. (1998), Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal of Economic Dynamics and Control 22, Brock, W.A., Lakonishok, J., LeBaron, B. (1992), Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, The Journal of Finance 47, Campbell J.Y., Lo, A.W., MacKinlay, A.C. (1997), The Econometrics of Financial Markets, Princeton University Press, New Jersey. Chan, L.K.C., Lakonishok, J. (1993), Institutional Trades and Intraday Stock Price Behavior, Journal of Financial Economics, Cheung, Y., Chinn, M.D. (1999), Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders, NBER working paper Cheung, Y., Chinn, M.D., Marsh, I.W. (2000), How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? NBER working paper Cootner, P. (ed.) (1964), The Random Character of Stock Market Prices, MIT Press, Cambridge. Reprint in 2000 by Risk Publications, London. Coutts, J.A., Cheung, K.C. (2000), Trading rules and stock returns: some preliminary short run evidence from the Hang Seng , Applied Financial Economics 10, Cowles, A. (1933), Can Stock Market Forecasters Forecast?, Econometrica 1, Cowles, A. (1944), Stock Market Forecasting, Econometrica,

4 References 287 Curcio, R... Goodhart, G. Guillaume. D.. Payne, R. (1997), Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange Market, International Journal of Finance and Economics 2, Cuthbertson, K. (1996), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, John Wiley & Sons Ltd., London. Dacorogna, M.M., Muller, U.A., Pictet. O.V. (1991), A Measure of Trading Model Performance with a Risk Component, A discussion paper by the O&A Research Group, MMD Dash, M. (1999), Tulipomania: The Story of the World's Most Coveted Flower and the Extraordinary Passions It Aroused, Victor Gollancz, London. De Long, J.B., Shleifer, A., Summers, L.H.. Waldmann, R.J. (1989), The size and incidence of the losses of noise trading, Journal of Finance 44, De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J. (1990), Noise trader risk in financial markets, Journal of Political Economy 98, Detry, P.J., Gregoire, P. (2001), Other Evidences of the Predictive Power of Technical Analysis: the Moving-Average Rules on European Indices, working paper, European Financial Management Association. Diebold, F.X. (1986), Testing for Serial Correlation in the Presence of ARCH, Proceedings of the American Statistical Association, Business and Economic Statistics Section, Diebold, F.X., Mariano, R.S. (1995), Comparing predictive accuracy, Journal of Business and Economic Statistics 13, Dooley, M.P.. Shafer, J.R. (1976), Analysis of Short-Run Exchange Rate Behavior: March 1973 to September 1975, International Finance Discussion Paper 123, Federal Reserve Board, Washington, D.C. Dooley, M.P., Shafer, J.R. (1983), Analysis of Short-Run Exchange Rate Behavior: March 1973 to November 1981, 43-69, Exchange Rate and Trade Instability: Causes, Consequences and Remedies, in D. Bigman and T.Taya eds., Ballinger, Cambridge, MA. Dudewicz, E.J., Mishra, S.N. (1988), Modern Mathematical Statistics, John Wiley & Sons, Inc. Edwards, R.D., Magee, J. (1998), Technical Analysis of Stock Trends. Seventh Edition, second printing, John Magee, Inc. Efron. B. (1979), Bootstrap methods: Another look at the jackknife, The Annals of Statistics 7, Efron, B., Tibshirani, R. (1986), Bootstrap methods for standard errors, confidence intervals and other measures of statistical accuracy. Statistical Science 1,

5 288 References Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons, Inc. Fama, E.F. (1965a), The behavior of stock market prices. Journal of Business 38, Fama, E.F. (1965b), Tomorrow on the New York Stock Exchange, Journal of Business 38, Fama. E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 25, Fama, E.F., Blume, M.E. (1966), Filter Rules and Stock-Market Trading, Journal of Business 39, Fama, E.F, French, K.R (1988). Dividend yields and expected stock returns, Journal of Financial Economics 22, Farmer. J.D. (1998), Market force, ecology, and evolution, Santa Fe Institute working paper Fernandez-Rodriguez, F., Sosvilla-Rivero, S., Andrada-Félix, J. (2001), Technical Analysis in the Madrid Stock Exchange. Moneda y Crédito 213, Frankel, J.A.. Froot. K.A. (1988), Chartists, fundamentalists and the demand for dollars, Greek Economic Review 10, Franses, P.H., Dijk. D. van (2000), Non-linear time series models in empirical finance, Cambridge University Press, New York. Freedman, D. (1984), On bootstrapping two-stage least squares estimates in stationary linear models, Annals of Statistics 12, Freedman, D., Peters, S. (1984a). Bootstrapping a regression equation: Some empirical results, Journal of the American Statistical Society 79, Freedman, D., Peters, S. (1984b), Bootstrapping an econometric model: Some empirical results. Journal of Business and Economic Statistics 2, Friedman, M. (1953), The case of flexible exchange rates, In: Essays in Positive Economics, University of Chicago Press, Chicago. Friend. I., Blume, M.E. (1975), The Demand for Risky Assets, The American Economic Review 65, Gaunersdorfer, A. (2000), Endogenous fluctuations in a simple asset pricing model with heterogeneous agents, Journal of Economic Dynamics and Control 24, Gaunersdorfer, A., Hommes, C.H. (2000), A nonlinear structural model for volatility clustering, CeNDEF Working Paper 00-02, University of Amsterdam. Gaunersdorfer. A., Hommes, C.H., Wagener, F.O.O. (2000). Bifurcation Routes to Volatility Clustering, CeNDEF Working Paper 00-09, University of Amsterdam. Giersbergen, N.P.A. van (1998), Bootstrapping Dynamic Econometric Models, Thesis. University of Amsterdam.

6 References 289 Graham, B. (1949), The Intelligent Investor, Fourth revised edition (1973). Harper & Row, Publishers, Inc., New York. Grandia, V. (2002), The Search for the Golden Rule: A Reality Check of Technical Analysis in the Dutch Stock Market, master thesis, University of Amsterdam. Grossman, S.J., Shiller, R.J. (1981), The Determinants of the Variability of Stock Market Prices, The American Economic Review, Hamilton, W.P. (1922), The Stock Market Barometer, Harper & Brothers, New York. Reprint in 1998 by John Wiley & Sons, Inc., New York. Hansen, P.R. (2001), An Unbiased and Powerful Test for Superior Predictive Ability, Brown University, Department of Economics, working paper no Hommes, C.H. (1997), Nonlinear Economic Dynamics, University of Amsterdam, Lecture notes. Hommes, C.H. (2001), Financial markets as nonlinear adaptive evolutionary systems, Quantitative Finance 1, Hong, H., Stein, J.C. (1999), A unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, Hsieh, D.A. (1988), The Statistical Properties of Daily Foreign Exchange Rates: , Journal of International Economics 24, Hudson, R., Dempsey, M., Keasey, K. (1996), A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices to 1994, Journal of Banking and Finance 20, Hull, J.C. (1991), Futures and Options Markets, Prentice-Hall, Inc., New Jersey. Isakov D., Hollistein, M. (1999), Application of simple technical trading rules to Swiss stock prices: Is it profitable?, Financial Markets and Portfolio Management 13, James, F.E. (1968), Monthly Moving Averages: An Effective Investment Tool?, Journal of Financial and Quantitative Analysis, Jensen, M.C. (1967), Random Walks: Reality or Myth - Comment, Financial Analysts Journal, Jensen, M.C, Benington, G.A. (1969), Random Walks and Technical Theories: Some Additional Evidence, Journal of Finance 25, Kendall, M.G. (1953), The Analysis of Economic Time-Series, Journal of the Royal Statistical Society 96, Keynes, J.M. (1936), The General Theory of Unemployment, Interest and Money, Harcourt Brace, London.

7 290 References Kho. B.C. (1996), Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets, Journal of Financial Economics 41, Kirman, A. (1991). Epidemics of opinion and speculative bubbles in financial markets, In: M. Taylor (ed.), Money and financial markets, Macmillan, London. Knez, P., Ready, M. (1996), Estimating the Profits from Trading Strategies, Review of Financial Studies, Langedijk. N. (2001), The Predictability of Technical Trading Rules on the Foreign Exchange Market: A Bootstrap Approach, master thesis, University of Amsterdam. LeBaron, B. (1993), Practical Comparisons of Foreign Exchange Forecasts, Neural Network World LeBaron, B. (2000a), The Stability of Moving-Average Technical Trading Rules on the Dow-Jones Index. Derivatives Use, Trading and Regulation 5, LeBaron, B. (2000b), Technical Trading Profitability in Foreign Exchange Market's in the 1990's. Brandeis University, working paper. LeBaron, B., Arthur, W.B., Palmer, R. (1999), Time series properties of an artificial stock market, Journal of Economic Dynamics and Control 23, Lee, C.I., Mathur, I. (1995), Trading rule profits in European currency spot cross rates, Journal of Banking and Finance 20, Leeson, N. (1996), Rogue Trader, Time Warner Paperbacks. Levich, R.M., Thomas L.R. (1993), The significance of technical trading-rule profits in the foreign exchange market: A bootstrap approach, Journal of International Money and Finance Levy, R.A. (1967), Relative Strength as a Criterion for Investment Selection, Journal of Finance Levy, R.A. (1971), The Predictive Significance of Five-Point Chart Patterns, The Journal of Business Lintner, J. (1965), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics 47, Ljung, G., Box, G. (1978), On a Measure of Lack of Fit in Time Series Models, Biometrika 65, Lo, A.W., MacKinlay, A.C. (1988), Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies 1, Lo, A.W., MacKinlay, A.C, (1997), Maximizing predictability in the stock and bond markets, Macroeconomic Dynamics 1,

8 References 291 Lo, A.W., MacKinlay. A.C. (1999), A non-random walk down Wall Street. Princeton University Press, Princeton. Lo. A.W., Mamaysky. H.. Wang. J. (2000). Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation, Journal of Finance 55, Lux, T. (1995) Herd Behavior, Bubbles and Crashes, The Economic Journal 105, Malkiel, B.G. (1996), A Random Walk down Wall Street, W.W. Norton & Company, Inc, New York. Mandelbrot, B. (1963), The Variation of Certain Speculative Prices, Journal of Business 36, Markowitz, H.M. (1952), Portfolio Selection. Journal of Finance 1, Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments, John Wiley, New York. Marquering, W., Verbeek. M. (2000), The Economic Value of Predicting Stock Index Returns and Volatility, Tilburg University, Center for Economic Research, Discussion paper 78. Menkhoff, L. (1998), The noise trading approach - questionnaire evidence from foreign exchange, Journal of International Money and Finance 17, Mills, T.C. (1990), Time series techniques for economists, Cambridge University Press. Mills, T.C. (1997), Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30, International Journal of Finance and Economics 2, Ming Ming, L., Mat Nor, F., Krishnan Guru, B. (2000), Technical Analysis in the Malaysian Stock Market: An Empirical Evidence, working paper, Universiti Kebangsaan Malaysia. Murphy J.J. (1986). Technical Analysis of the Futures Markets, New York institute of finance. Neftci, S.N. (1991), Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis", Journal of Business 64, Nelson, D.B. (1995), Conditional heteroskedasticity in asset returns: a new approach, Econometrica 59, Nelson, S.A. (1903), The ABC of Stock Speculation. Reprint in 1999 by Fraser Publishing Company, Burlington. Newey. W., West. K. (1987). A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica O'Hara. M. (1995). Market Micro structure Theory, Blackwell Publishers, Inc., Massachusettes.

9 292 References Osier, C.L.. Chang. P.H.K. (1995), Head and Shoulders: Not Just a Flaky Pattern. Staff Reports No. 4, Federal Reserve Bank of New York. Pesaran, M.H., Timmermann, A. (1995), Predictability of Stock Returns: Robustness and Economic Significance, The Journal of Finance 50, Pesaran, M.H., Timmermann, A. (2000), A Recursive Modeling Approach to Predicting UK Stock Returns, Economic Journal 110, Phillips, P.C.B. (1986), Understanding Spurious Regressions in Econometrics, Journal of Econometrics Politis, D., Romano, J. (1994), The Stationary Bootstrap, Journal of the American Statistical Association 89, Prestbo, J.A. (1999), The Market's Measure, Dow Jones & Company, Inc., New York. Pring, M. (1998), Introduction to Technical Analysis, McGraw-Hill, New York. Ratner, M., Leal, R.P.C. (1999), Tests of technical trading strategies in the emerging equity markets of Latin America and Asia, Journal of Banking and Finance 23, Ready, M.J. (1997), Profits from Technical Trading Rules, working paper, University of Wisconsin-Madison. Rhea, R. (1932), The Dow Theory, Barron's, New York. Reprint in 1993 by Fraser Publishing Company, Burlington. Roberts, H.V. (1959), Stock-Market "Patterns" and Financial Analysis: Methodological Suggestions, Journal of Finance 14, Samuelson, P. (1965), Proof that Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review 6, Satterthwhaite, R.E. (1946), Biom. Bull. 2 :110. Schulmeister, S. (1988), Currency Speculation and Dollar Fluctuations, Quarterly Review Banca Nazionale del Lavoro, Sharpe, W. (1964), Capital Asset Prices: A Theory of Market Equilibrium, Journal of Finance 19, Shiller, R.J. (2000), Irrational Exuberance, Princeton University Press, New Jersey. Snedecor, G.W., Cochran, W.G. (1989), Statistical Methods (8), Iowa: Stek University Press, Ames. Sullivan, R., Timmermann, A., White, H. (1999), Data-snooping, Technical Trading Rule Performance, and the Bootstrap, Journal of Finance 54, Sullivan, R., Timmermann A., White, H. (2001), Dangers of data mining: The case of calendar effects in stock returns, Journal of Econometrics 105,

10 References 293 Sweeney, R.J. (1986). Beating the Foreign Exchange Market, The Journal of Finance 61, Sweeney, R.J. (1988), Some New Filter Rule Tests: Methods and Results, Journal of Financial and Quantitative Analysis 23, Taylor, M.P., Allen, H. (1992), The use of technical analysis in the foreign exchange market, Journal of International Money and Finance 11, Theil, H., Leenders, C.T. (1965), Tomorrow on the Amsterdam Stock Exchange, Journal of Business 38, Thomson, R. (1998), Apocalypse Roulette, Pan Macmillan, London. Wang, J. (1994), A model of competitive stock trading volume, Journal of Political Economy 102, West, K.D. (1996), Asymptotic Inference about Predictive Ability, Econometrica 64, Westerhoff, F.H. (2002), Expectations driven distortions in the foreign exchange market, Journal of Economic Behavior and Organization 1502, White, H. (1980), A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity, Econometrica 48, White, H. (2000), A Reality Check for Data Snooping, Econometrica 68, Williams, J.B. (1938), The Theory of Investment Value, Harvard University Press. Working, H. (1934), A Random Difference Series for Use in the Analysis of Time Series, American Statistical Association Journal 29,

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