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A simple return generating model in discrete time : implications and potential applications for market efficiency testing and technical analysis

Milionis, Alexandros E. - In: Theoretical economics letters 9 (2019) 4, pp. 973-985

Persistent link: https://www.econbiz.de/10012023083

A study of the predictve performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange : sensitivity analysis and impli...

Milionis, Alexandros E.; Papanagiotou, Evangelia - In: Applied financial economics 19 (2009) 13/15, pp. 1171-1186

This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...

Persistent link: https://www.econbiz.de/10003886017

Decomposing the predictive performance of the moving average trading rule of technical analysis : the contribution of linear and non linear dependencies in stock returns

Milionis, Alexandros E.; Papanagiotou, Evangelia - 2011

Persistent link: https://www.econbiz.de/10009387932

Decomposing the predictive performance of the moving average trading rule of technical analysis : the contribution of linear and non linear dependencies in stock returns

Milionis, Alexandros E.; Papanagiotou, Evangelia - 2022

On several occasions technical analysis rules have been shown to have predictive power. The main purpose of this work is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed to the possible exploitation of linear and non linear...

Persistent link: https://www.econbiz.de/10013403947