Gerwin Griffioen's Technical Analysis Pages

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

References

[1]

Achelis, S.B. (1995), Technical Analysis from A to Z, McGraw-Hill, New York.

[2]

Adriaanse, G. (2002), Technical Indicators, master thesis, University of Amsterdam.

[3]

Alexander, S.S. (1961), Price Movements in Speculative Markets: Trends or Random Walks, Industrial Management Review 2, 7-26.

[4]

Alexander, S.S. (1964), Price movements in speculative markets: Trends or random walks, Number 2, Industrial Management Review 5, 25-46.

[5]

Allen, H., Taylor, M.P. (1990), Charts, Noise and Fundamentalists in the London Foreign Exchange Market, The Economic Journal 100, 49-59.

[6]

Arditti, F.D., McCollough, W.A. (1978), Can Analysts Distinguish Between Real and Randomly Generated Stock Prices? Financial Analysts Journal, 70-74.

[7]

Arthur, W.B., Holland, J.H., LeBaron, B., Palmer, R., Taylor, P. (1997), Asset pricing under endogenous expectations in an artificial stock market. In: Arthur, W.B., Durlauf, S.N., and Lane, D.A., eds., The economy as an evolving complex system II, Redwood City, Addison-Wesley.

[8]

Bartlett, M.S. (1946), On the Theoretical Specification of Sampling properties of Autocorrelated Time Series, Journal of the Royal Statistical Society, Series B, 8, 27-41.

[9]

Bass, A.B. (1999), The Predictors: How a band of maverick physicists set out to beat Wall Street, Penguin Books Ltd, London.

[10]

Bera, A.K., Higgins, M.L. (1993), Arch Models: Properties, Estimation and Testing, Journal of Economic Surveys 7, 305-366.

[11]

Bernstein, P.L. (1996), Against the Gods: the remarkable story of risk, John Wiley & Sons, Inc.

[12]

Bessembinder, H., Chan, K. (1995), The profitability of technical trading strategies in the Asian stock markets, Pacific-Basin Finance Journal 3, 257-284.

[13]

Bessembinder, H., Chan, K. (1998), Market Efficiency and the Returns to Technical Analysis, Financial Management 27, 5-17.

[14]

Bodie, Z., Kane, A., Marcus, A.J. (1996), Investments, Irwin.

[15]

Bollerslev, T., Wooldridge, J.M. (1992), Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, Econometric Reviews 11, 143-172.

[16]

Boswijk, H.P. (1998), Unit Roots and Cointegration, University of Amsterdam, Lecture notes.

[17]

Bouman, S., Jacobsen, B. (1997), The Halloween Indicator: Sell in May and go away, Chapter in thesis: Time Series Properties of Stock Returns, 86-106, University of Amsterdam.

[18]

Box, G., Pierce, D. (1970), Distribution of Autocorrelations in Autoregressive Moving Average Time Series Models, Journal of the American Statistical Association 65, 1509-1526.

[19]

Brock, W.A., Hommes, C.H. (1997), A rational route to randomness, Econometrica 65, 1059-1095.

[20]

Brock, W.A., Hommes, C.H. (1997), Models of complexity in economics and finance, System Dynamics in Economic and Financial Models, ed C. Hey et al (New York: Wiley), 3-41.

[21]

Brock, W.A., Hommes, C.H. (1998), Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal of Economic Dynamics and Control 22, 1235-1274.

[22]

Brock, W.A., Lakonishok, J., LeBaron, B. (1992), Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, The Journal of Finance 47, 1731-1764.

[23]

Campbell J.Y., Lo, A.W., MacKinlay, A.C. (1997), The Econometrics of Financial Markets, Princeton University Press, New Jersey.

[24]

Chan, L.K.C., Lakonishok, J. (1993), Institutional Trades and Intraday Stock Price Behavior, Journal of Financial Economics, 173-199.

[25]

Cheung, Y., Chinn, M.D. (1999), Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders, NBER working paper 7417.

[26]

Cheung, Y., Chinn, M.D., Marsh, I.W. (2000), How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? NBER working paper 7524.

[27]

Cootner, P. (ed.) (1964), The Random Character of Stock Market Prices, MIT Press, Cambridge. Reprint in 2000 by Risk Publications, London.

[28]

Coutts, J.A., Cheung, K.C. (2000), Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997, Applied Financial Economics 10, 579-586.

[29]

Cowles, A. (1933), Can Stock Market Forecasters Forecast?, Econometrica 1, 309-324.

[30]

Cowles, A. (1944), Stock Market Forecasting, Econometrica, 206-214.

[31]

Curcio, R., Goodhart, G. Guillaume, D., Payne, R. (1997), Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange Market, International Journal of Finance and Economics 2, 267-280.

[32]

Cuthbertson, K. (1996), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, John Wiley & Sons Ltd., London.

[33]

Dacorogna, M.M., Müller, U.A., Pictet, O.V. (1991), A Measure of Trading Model Performance with a Risk Component, A discussion paper by the O&A Research Group, MMD.1991-05-24.

[34]

Dash, M. (1999), Tulipomania: The Story of the World's Most Coveted Flower and the Extraordinary Passions It Aroused, Victor Gollancz, London.

[35]

De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J. (1989), The size and incidence of the losses of noise trading, Journal of Finance 44, 681-696.

[36]

De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J. (1990), Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.

[37]

Detry, P.J., Gregoire, P. (2001), Other Evidences of the Predictive Power of Technical Analysis: the Moving-Average Rules on European Indices, working paper, European Financial Management Association.

[38]

Diebold, F.X. (1986), Testing for Serial Correlation in the Presence of ARCH, Proceedings of the American Statistical Association, Business and Economic Statistics Section, 323-328.

[39]

Diebold, F.X., Mariano, R.S. (1995), Comparing predictive accuracy, Journal of Business and Economic Statistics 13, 253-265.

[40]

Dooley, M.P., Shafer, J.R. (1976), Analysis of Short-Run Exchange Rate Behavior: March 1973 to September 1975, International Finance Discussion Paper 123, Federal Reserve Board, Washington, D.C.

[41]

Dooley, M.P., Shafer, J.R. (1983), Analysis of Short-Run Exchange Rate Behavior: March 1973 to November 1981, 43-69, Exchange Rate and Trade Instability: Causes, Consequences and Remedies, in D. Bigman and T.Taya eds., Ballinger, Cambridge, MA.

[42]

Dudewicz, E.J., Mishra, S.N. (1988), Modern Mathematical Statistics, John Wiley & Sons, Inc.

[43]

Edwards, R.D., Magee, J. (1998), Technical Analysis of Stock Trends. Seventh Edition, second printing, John Magee, Inc.

[44]

Efron, B. (1979), Bootstrap methods: Another look at the jackknife, The Annals of Statistics 7, 1-26.

[45]

Efron, B., Tibshirani, R. (1986), Bootstrap methods for standard errors, confidence intervals and other measures of statistical accuracy, Statistical Science 1, 54-77.

[46]

Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons, Inc.

[47]

Fama, E.F. (1965a), The behavior of stock market prices, Journal of Business 38, 34-105.

[48]

Fama, E.F. (1965b), Tomorrow on the New York Stock Exchange, Journal of Business 38, 285-299.

[49]

Fama, E.F. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 25, 383-417.

[50]

Fama, E.F., Blume, M.E. (1966), Filter Rules and Stock-Market Trading, Journal of Business 39, 226-241.

[51]

Fama, E.F, French, K.R (1988), Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.

[52]

Farmer, J.D. (1998), Market force, ecology, and evolution, Santa Fe Institute working paper 98-12-117.

[53]

Fernández-Rodríguez, F., Sosvilla-Rivero, S., Andrada-Félix, J. (2001), Technical Analysis in the Madrid Stock Exchange, Moneda y Crédito 213, 11-37.

[54]

Frankel, J.A., Froot, K.A. (1988), Chartists, fundamentalists and the demand for dollars, Greek Economic Review 10, 49-102.

[55]

Franses, P.H., Dijk, D. van (2000), Non-linear time series models in empirical finance, Cambridge University Press, New York.

[56]

Freedman, D. (1984), On bootstrapping two-stage least squares estimates in stationary linear models, Annals of Statistics 12, 827-842.

[57]

Freedman, D., Peters, S. (1984a), Bootstrapping a regression equation: Some empirical results, Journal of the American Statistical Society 79, 97-106.

[58]

Freedman, D., Peters, S. (1984b), Bootstrapping an econometric model: Some empirical results, Journal of Business and Economic Statistics 2, 150-158.

[59]

Friedman, M. (1953), The case of flexible exchange rates, In: Essays in Positive Economics, University of Chicago Press, Chicago.

[60]

Friend, I., Blume, M.E. (1975), The Demand for Risky Assets, The American Economic Review 65, 900-922.

[61]

Gaunersdorfer, A. (2000), Endogenous fluctuations in a simple asset pricing model with heterogeneous agents, Journal of Economic Dynamics and Control 24, 799-831.

[62]

Gaunersdorfer, A., Hommes, C.H. (2000), A nonlinear structural model for volatility clustering, CeNDEF Working Paper 00-02, University of Amsterdam.

[63]

Gaunersdorfer, A., Hommes, C.H., Wagener, F.O.O. (2000), Bifurcation Routes to Volatility Clustering, CeNDEF Working Paper 00-09, University of Amsterdam.

[64]

Giersbergen, N.P.A. van (1998), Bootstrapping Dynamic Econometric Models, Thesis, University of Amsterdam.

[65]

Graham, B. (1949), The Intelligent Investor, Fourth revised edition (1973), Harper & Row, Publishers, Inc., New York.

[66]

Grandia, V. (2002), The Search for the Golden Rule: A Reality Check of Technical Analysis in the Dutch Stock Market, master thesis, University of Amsterdam.

[67]

Grossman, S.J., Shiller, R.J. (1981), The Determinants of the Variability of Stock Market Prices, The American Economic Review, 222-227.

[68]

Hamilton, W.P. (1922), The Stock Market Barometer, Harper & Brothers, New York. Reprint in 1998 by John Wiley & Sons, Inc., New York.

[69]

Hansen, P.R. (2001), An Unbiased and Powerful Test for Superior Predictive Ability, Brown University, Department of Economics, working paper no.01-06.

[70]

Hommes, C.H. (1997), Nonlinear Economic Dynamics, University of Amsterdam, Lecture notes.

[71]

Hommes, C.H. (2001), Financial markets as nonlinear adaptive evolutionary systems, Quantitative Finance 1, 149-167.

[72]

Hong, H., Stein, J.C. (1999), A unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, 2143-2184.

[73]

Hsieh, D.A. (1988), The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983, Journal of International Economics 24, 129-145.

[74]

Hudson, R., Dempsey, M., Keasey, K. (1996), A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994, Journal of Banking and Finance 20, 1121-1132.

[75]

Hull, J.C. (1991), Futures and Options Markets, Prentice-Hall, Inc., New Jersey.

[76]

Isakov D., Hollistein, M. (1999), Application of simple technical trading rules to Swiss stock prices: Is it profitable?, Financial Markets and Portfolio Management 13, 9-26.

[77]

James, F.E. (1968), Monthly Moving Averages: An Effective Investment Tool?, Journal of Financial and Quantitative Analysis, 315-326.

[78]

Jensen, M.C. (1967), Random Walks: Reality or Myth - Comment, Financial Analysts Journal, 77-85.

[79]

Jensen, M.C., Benington, G.A. (1969), Random Walks and Technical Theories: Some Additional Evidence, Journal of Finance 25, 469-482.

[80]

Kendall, M.G. (1953), The Analysis of Economic Time-Series, Journal of the Royal Statistical Society 96, 11-25.

[81]

Keynes, J.M. (1936), The General Theory of Unemployment, Interest and Money, Harcourt Brace, London.

[82]

Kho, B.C. (1996), Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets, Journal of Financial Economics 41, 249-290.

[83]

Kirman, A. (1991), Epidemics of opinion and speculative bubbles in financial markets, In: M. Taylor (ed.), Money and financial markets, Macmillan, London.

[84]

Knez, P., Ready, M. (1996), Estimating the Profits from Trading Strategies, Review of Financial Studies, 1121-1164.

[85]

Langedijk, N. (2001), The Predictability of Technical Trading Rules on the Foreign Exchange Market: A Bootstrap Approach, master thesis, University of Amsterdam.

[86]

LeBaron, B. (1993), Practical Comparisons of Foreign Exchange Forecasts, Neural Network World 6, 779-790.

[87]

LeBaron, B. (2000a), The Stability of Moving-Average Technical Trading Rules on the Dow-Jones Index, Derivatives Use, Trading and Regulation 5, 324-338.

[88]

LeBaron, B. (2000b), Technical Trading Profitability in Foreign Exchange Market's in the 1990's, Brandeis University, working paper.

[89]

LeBaron, B., Arthur, W.B., Palmer, R. (1999), Time series properties of an artificial stock market, Journal of Economic Dynamics and Control 23, 1487-1516.

[90]

Lee, C.I., Mathur, I. (1995), Trading rule profits in European currency spot cross rates, Journal of Banking and Finance 20, 949-962.

[91]

Leeson, N. (1996), Rogue Trader, Time Warner Paperbacks.

[92]

Levich, R.M., Thomas L.R. (1993), The significance of technical trading-rule profits in the foreign exchange market: A bootstrap approach, Journal of International Money and Finance 12, 451-474.

[93]

Levy, R.A. (1967), Relative Strength as a Criterion for Investment Selection, Journal of Finance 22, 595-610.

[94]

Levy, R.A. (1971), The Predictive Significance of Five-Point Chart Patterns, The Journal of Business 44, 316-323.

[95]

Lintner, J. (1965), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics 47, 13-37.

[96]

Ljung, G., Box, G. (1978), On a Measure of Lack of Fit in Time Series Models, Biometrika 65, 297-303.

[97]

Lo, A.W., MacKinlay, A.C. (1988), Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies 1, 41-66.

[98]

Lo, A.W., MacKinlay, A.C., (1997), Maximizing predictability in the stock and bond markets, Macroeconomic Dynamics 1, 102-134.

[99]

Lo, A.W., MacKinlay, A.C. (1999), A non-random walk down Wall Street, Princeton University Press, Princeton.

[100]

Lo, A.W., Mamaysky, H., Wang, J. (2000), Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation, Journal of Finance 55, 1705-1722.

[101]

Lux, T. (1995) Herd Behavior, Bubbles and Crashes, The Economic Journal 105, 881-896.

[102]

Malkiel, B.G. (1996), A Random Walk down Wall Street, W.W. Norton & Company, Inc, New York.

[103]

Mandelbrot, B. (1963), The Variation of Certain Speculative Prices, Journal of Business 36, 394-419.

[104]

Markowitz, H.M. (1952), Portfolio Selection, Journal of Finance 7, 77-91.

[105]

Markowitz, H.M. (1959), Portfolio Selection: Efficient Diversification of Investments, John Wiley, New York.

[106]

Marquering, W., Verbeek, M. (2000), The Economic Value of Predicting Stock Index Returns and Volatility, Tilburg University, Center for Economic Research, Discussion paper 78.

[107]

Menkhoff, L. (1998), The noise trading approach - questionnaire evidence from foreign exchange, Journal of International Money and Finance 17, 547-564.

[108]

Mills, T.C. (1990), Time series techniques for economists, Cambridge University Press.

[109]

Mills, T.C. (1997), Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30, International Journal of Finance and Economics 2, 319-331.

[110]

Ming Ming, L., Mat Nor, F., Krishnan Guru, B. (2000), Technical Analysis in the Malaysian Stock Market: An Empirical Evidence, working paper, Universiti Kebangsaan Malaysia.

[111]

Murphy J.J. (1986), Technical Analysis of the Futures Markets, New York institute of finance.

[112]

Neftci, S.N. (1991), Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of ``Technical Analysis'', Journal of Business 64, 549-571.

[113]

Nelson, D.B. (1995), Conditional heteroskedasticity in asset returns: a new approach, Econometrica 59, 347-370.

[114]

Nelson, S.A. (1903), The ABC of Stock Speculation. Reprint in 1999 by Fraser Publishing Company, Burlington.

[115]

Newey, W., West, K. (1987), A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703-708.

[116]

O'Hara, M. (1995), Market Microstructure Theory, Blackwell Publishers, Inc., Massachusettes.

[117]

Osler, C.L., Chang, P.H.K. (1995), Head and Shoulders: Not Just a Flaky Pattern, Staff Reports No. 4, Federal Reserve Bank of New York.

[118]

Pesaran, M.H., Timmermann, A. (1995), Predictability of Stock Returns: Robustness and Economic Significance, The Journal of Finance 50, 1201-1228.

[119]

Pesaran, M.H., Timmermann, A. (2000), A Recursive Modeling Approach to Predicting UK Stock Returns, Economic Journal 110, 159-191.

[120]

Phillips, P.C.B. (1986), Understanding Spurious Regressions in Econometrics, Journal of Econometrics 33, 311-340.

[121]

Politis, D., Romano, J. (1994), The Stationary Bootstrap, Journal of the American Statistical Association 89, 1303-1313.

[122]

Prestbo, J.A. (1999), The Market's Measure, Dow Jones & Company, Inc., New York.

[123]

Pring, M. (1998), Introduction to Technical Analysis, McGraw-Hill, New York.

[124]

Ratner, M., Leal, R.P.C. (1999), Tests of technical trading strategies in the emerging equity markets of Latin America and Asia, Journal of Banking and Finance 23, 1887-1905.

[125]

Ready, M.J. (1997), Profits from Technical Trading Rules, working paper, University of Wisconsin-Madison.

[126]

Rhea, R. (1932), The Dow Theory, Barron's, New York. Reprint in 1993 by Fraser Publishing Company, Burlington.

[127]

Roberts, H.V. (1959), Stock-Market ``Patterns'' and Financial Analysis: Methodological Suggestions, Journal of Finance 14, 1-10.

[128]

Samuelson, P. (1965), Proof that Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review 6, 41-49.

[129]

Satterthwhaite, R.E. (1946), Biom. Bull. 2 :110.

[130]

Schulmeister, S. (1988), Currency Speculation and Dollar Fluctuations, Quarterly Review Banca Nazionale del Lavoro, 343-365.

[131]

Sharpe, W. (1964), Capital Asset Prices: A Theory of Market Equilibrium, Journal of Finance 19, 425-442.

[132]

Shiller, R.J. (2000), Irrational Exuberance, Princeton University Press, New Jersey.

[133]

Snedecor, G.W., Cochran, W.G. (1989), Statistical Methods (8), Iowa: Stek University Press, Ames.

[134]

Sullivan, R., Timmermann, A., White, H. (1999), Data-snooping, Technical Trading Rule Performance, and the Bootstrap, Journal of Finance 54, 1647-1691.

[135]

Sullivan, R., Timmermann A., White, H. (2001), Dangers of data mining: The case of calendar effects in stock returns, Journal of Econometrics 105, 249-286.

[136]

Sweeney, R.J. (1986), Beating the Foreign Exchange Market, The Journal of Finance 61, 163-182.

[137]

Sweeney, R.J. (1988), Some New Filter Rule Tests: Methods and Results, Journal of Financial and Quantitative Analysis 23, 285-300.

[138]

Taylor, M.P., Allen, H. (1992), The use of technical analysis in the foreign exchange market, Journal of International Money and Finance 11, 304-314.

[139]

Theil, H., Leenders, C.T. (1965), Tomorrow on the Amsterdam Stock Exchange, Journal of Business 38, 277-284.

[140]

Thomson, R. (1998), Apocalypse Roulette, Pan Macmillan, London.

[141]

Wang, J. (1994), A model of competitive stock trading volume, Journal of Political Economy 102, 127-168.

[142]

West, K.D. (1996), Asymptotic Inference about Predictive Ability, Econometrica 64, 1067-1084.

[143]

Westerhoff, F.H. (2002), Expectations driven distortions in the foreign exchange market, Journal of Economic Behavior and Organization 1502, 1-24.

[144]

White, H. (1980), A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity, Econometrica 48, 817-838.

[145]

White, H. (2000), A Reality Check for Data Snooping, Econometrica 68, 1097-1126.

[146]

Williams, J.B. (1938), The Theory of Investment Value, Harvard University Press.

[147]

Working, H. (1934), A Random Difference Series for Use in the Analysis of Time Series, American Statistical Association Journal 29, 11-24.

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

Copyright © 2004 Gerwin Griffioen