This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles,...

The profit surface is a visualization technique for data computed from trading rules. I simulate price paths and operate the trading rules to compute cumulative returns for the rule under different specifications. The specifications are pairs of integers, filter lag lengths, so a contour plot is...

This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is related to the situation when: a) the final consumption, gross fixed capital formation, inventory...

The efficiency of the Romanian stock market is tested over 5 individual stocks during 2002-2011, with a test period and an out of sample period. Technical analysis strategies are applied on the data to identify if they return profits by exceeding the buy-andhold strategy. Best moving average...

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We...

We propose a method for pricing American options whose payoff depends on the moving average of the underlying asset price. The method uses a finite-dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The...