G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w7613
来源IDWorking Paper 7613
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
Andrew W. Lo; Harry Mamaysky; Jiang Wang
发表日期2000-03-01
出版年2000
语种英语
摘要Technical analysis, also known as charting,' has been part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness to technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution conditioned on specific technical indicators such as head-and-shoulders or double-bottoms we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.
URLhttps://www.nber.org/papers/w7613
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/565165
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Andrew W. Lo,Harry Mamaysky,Jiang Wang. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. 2000.
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