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Advanced trading rules

Author: E Acar; S Satchell
Publisher: Oxford : Butterworth-Heinemann, 2002.
Series: Quanitative finance series.; Butterworth-Heinemann finance.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:
Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income,  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: E Acar; S Satchell
ISBN: 075065516X 9780750655163
OCLC Number: 48570100
Notes: Originally published: 1998.
Description: xvi, 449 pages : illustrations ; 25 cm.
Contents: Technical trading rules and regime shifts in foreign exchange / Blake LeBaron --
Null models for foreign exchange movements --
Empirical results --
Economic significance of trading-rule profits --
Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation / Andrew W. Lo, Harry Mamaysky, Jiang Wang --
Smoothing estimators and kernel regression --
Automating technical analysis --
Is technical analysis informative? --
Monte Carlo analysis --
Mean-variance analysis, trading rules and emerging markets / Daan Matheussen, Stephen Satchell --
Data and portfolio construction --
Expected returns of directional forecasters / Emmanuel Acar --
Trading rules --
Autoregressive models --
Technical indicators --
Conditional heteroskedasticity and linear rule returns --
Some exact results for moving-average trading rules with applications to UK indices / George W. Kuo --
The moving-average trading rule --
The stochastic process for asset returns --
The moving-average ([infinity], 1) rule --
Applications to UK stock and futures markets --
The portfolio distribution of directional strategies / Emmanuel Acar, Stephen Satchell --
Portfolio returns of directional strategies --
Exact distribution under the normal random walk assumption --
Generalization --
The profits to technical analysis in foreign exchange markets have not disappeared / John Okunev, Derek White --
Trading strategies --
The economic value of leading edge techniques for exchange rate prediction / Christian L. Dunis.
Series Title: Quanitative finance series.; Butterworth-Heinemann finance.
Responsibility: edited by E. Acar and S. Satchell.

Abstract:

A guide to the techniques used by the best financial traders, analysts and fund managers. It demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to  Read more...

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"Simply the best ... if you are trying to make forecasts in financial markets, if you have a good error rate, but you don't know how to make money with your models, this is your book. Useful to Read more...

 
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