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Monte Carlo and Quasi-Monte Carlo Methods 2004 pp 15–30Cite as

Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains

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Abstract

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical analysis techniques when the model is misspecified. The comparisons are based on Monte Carlo simulations.

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Author information

Authors and Affiliations

  1. Laboratoire Dieudonné, université Nice Sophia-Antipolis, Parc Valrose, 06108, Nice Cedex 2, France

    Christophette Blanchet-Scalliet

  2. Projet OMEGA, INRIA, 2004 route des Lucioles, BP93, 06902, Sophia-Antipolis, France

    Awa Diop, Denis Talay & Etienne Tanré

  3. NCCR FINRISK, Swiss Banking Institute, University of Zürich, Plattenstrasse 14, Zürich, 8032, Switzerland

    Rajna Gibson

Authors
  1. Christophette Blanchet-Scalliet
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  2. Awa Diop
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  3. Rajna Gibson
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  4. Denis Talay
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  5. Etienne Tanré
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Editor information

Editors and Affiliations

  1. Department of Mathematics, National University of Singapore, 2 Science Drive 2, Singapore, 117543, Republic of Singapore

    Harald Niederreiter

  2. INRIA Sophia Antipolis, route des lucioles 2004, 06902, Sophia Antipolis Cedex, France

    Denis Talay

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© 2006 Springer-Verlag Berlin Heidelberg

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Blanchet-Scalliet, C., Diop, A., Gibson, R., Talay, D., Tanré, E. (2006). Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity Domains. In: Niederreiter, H., Talay, D. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2004. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-31186-6_2

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