Blanchet-Scaillet, Christophe; Diop, Awa; Gibson, Rajna; … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
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...