UvA-DARE (Digital Academic Repository) Technical Analysis in Financial Markets Griffioen, G.A.W. Link to publication

Transcription

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: 26 Aug 2018

2 Contents 1 Introduction Financial practice Technical analysis and efficient markets. An overview Outline of the thesis 27 2 Success and Failure of Technical Trading Strategies in the Cocoa Futures Market Introduction Data Data series A continuous time series of futures prices Summary statistics Technical trading strategies The moving-average trading rule Trading range break-out Filter rule Performance measure Cocoa futures prices Pound-Dollar exchange rate Profitability and predictability of trading rules The best 5 strategies The set of 5350 trading rules: economic significance The set of 5350 trading rules: statistical significance Bootstrap Bootstrap tests: methodology Bootstrap tests: empirical results Success and failure of technical trading The influence of the Pound-Dollar exchange rate 68 ix

3 X What causes success and failure of technical trading? Concluding remarks 72 Appendix 75 A. Tables 75 B. Parameters of technical trading strategies 89 3 Technical Trading Rule Performance in Dow-Jones Industrial Average Listed Stocks Introduction Data and summary statistics Technical trading strategies Trading profits Data snooping Empirical results Results for the mean return criterion Results for the Sharpe ratio criterion A recursive out-of-sample forecasting approach Conclusion 118 Appendix 120 A. Tables 120 B. Parameters of technical trading strategies 143 C. Parameters of recursive optimizing and testing procedure Technical Trading Rule Performance in Amsterdam Stock Exchange Listed Stocks Introduction Data and summary statistics Empirical results Results for the mean return criterion Results for the Sharpe ratio criterion A recursive out-of-sample forecasting approach Conclusion 160 Appendix 164 A. Tables 164 B. Parameters of recursive optimizing and testing procedure 184

4 5 Technical Trading Rule Performance in Local Main Stock Market Indices Introduction Data and summary statistics Empirical results Results for the mean return criterion Results for the Sharpe ratio criterion A recursive out-of-sample forecasting approach Conclusion Comparing the US, Dutch and Other Stock Markets 208 Appendix 211 A. Tables An Evolutionary Adaptive Learning Model with Fundamentalists and Moving Average Traders Introduction The Brock-Hommes heterogeneous agents model A modified heterogeneous agents asset pricing model Utility-maximizing beliefs Non-utility-maximizing beliefs: technical traders Market equilibrium A heterogeneous agents model with fundamentalists versus moving average traders The dynamical system Trading volume Stability analysis Steady state Local stability of the steady state Bifurcations Numerical analysis Lyapunov characteristic exponents Parameter values Model simulations Conclusion 270 Appendix 272 A. Figures 272

5 xii Contents B. Wealth invested according to belief h 278 C. Equilibrium price for s > References 285 Samenvatting (Summary in Dutch) 295 Author Index 303

6

7