A Mathematical Analysis of Technical Analysis

Por • 1 nov, 2017 • Sección: Economía

Matthew Lorig, Zhou Zhou, Bin Zou

Abstract: In this paper, we study trading strategies based on exponential moving averages (ExpMA), an important indicator in technical analysis. We seek optimal ExpMA strategies when the drift of the underlying is modeled by either an Ornstein-Uhlenbeck process or a two-state continuous-time Markov chain. Closed-form solutions are obtained under the logarithm utility maximization and the long-term growth rate maximization.

arXiv:1710.09476v1 [q-fin.MF

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