Gerwin Griffioen's Technical Analysis Pages

Griffioen, G.A.W. (2003), "Technical Analysis in Financial Markets", PhD thesis, University of Amsterdam.

Contents

• Abstract
• Acknowledgements
• 1. Introduction
  • 1.1. Financial practice
  • 1.2. Technical analysis and efficient markets. An overview
  • 1.3. Outline of the thesis
• 2. Success and Failure of Technical Trading Strategies
  in the Cocoa Futures Market
  • 2.1. Introduction
  • 2.2. Data
  • 2.3. Technical trading strategies
  • 2.4. Performance measure
  • 2.5. Profitability and predictability of trading rules
  • 2.6. Bootstrap
  • 2.7. Success and failure of technical trading
  • 2.8. Concluding remarks
  • Appendix
• 3. Technical Trading Rule Performance
  in Dow-Jones Industrial Average Listed Stocks
  • 3.1. Introduction
  • 3.2. Data and summary statistics
  • 3.3. Technical trading strategies
  • 3.4. Trading profits
  • 3.5. Data snooping
  • 3.6. Empirical results
  • 3.7. A recursive out-of-sample forecasting approach
  • 3.8. Conclusion
  • Appendix
• 4. Technical Trading Rule Performance
  in Amsterdam Stock Exchange Listed Stocks
  • 4.1. Introduction
  • 4.2. Data and summary statistics
  • 4.3. Empirical results
  • 4.4. A recursive out-of-sample forecasting approach
  • 4.5. Conclusion
  • Appendix
• 5. Technical Trading Rule Performance
  in Local Main Stock Market Indices
  • 5.1. Introduction
  • 5.2. Data and summary statistics
  • 5.3. Empirical results
  • 5.4. A recursive out-of-sample forecasting approach
  • 5.5. Conclusion
  • 5.6. Comparing the US, Dutch and Other Stock Markets
  • Appendix
• 6. An Evolutionary Adaptive Learning Model with
  Fundamentalists and Moving Average Traders
  • 6.1. Introduction
  • 6.2. The Brock-Hommes heterogeneous agents model
  • 6.3. A modified heterogeneous agents asset pricing model
  • 6.4. Trading volume
  • 6.5. Stability analysis
  • 6.6. Numerical analysis
  • 6.7. Conclusion
  • Appendix
• References
• Samenvatting (Summary in Dutch)

Home | Contents | Chapter 1 | Chapter 2 | Chapter 3 | Chapter 4 | Chapter 5 | Chapter 6 | References

Copyright © 2004 Gerwin Griffioen