From the market microstructure perspective, technical analysis can be profitable when informed traders make systematic mistakes or when uninformed traders have predictable impacts on price. However, chartists face a considerable degree of trading uncertainty because technical indicators such as moving averages are essentially imperfect filters with a nonzero phase shift. Consequently, technical...

This paper performs tests on several different foreign exchange series using a methodology inspired by technical trading rules. Moving average based rules are used as specification tests on the process for foreign exchange rates. Several models for regime shifts and persistent trends are simulated and compared with results from the actual series. The results show that these simple models can no...

We investigate predictability of asset returns by developing an approach that combines technical analysis and conventional time series forecasts. While exploiting predictable components as functions of past prices or returns, technical trading rules and time series forecasts capture different aspects of market predictability: the former tends to identify periods to be in the market when returns...

This study examines the potential profit of bull flag technical trading rules using a template matching technique based on pattern recognition for the Nasdaq Composite Index (NASDAQ) and Taiwan Weighted Index (TWI). To minimize measurement error due to data snooping, this study performed a series of experiments to test the effectiveness of the proposed method. The empirical results indicated th...

This thesis consists of two related parts. The first part develops non-parametric freight rate and scrap value models for the product tanker market. Monte Carlo simulations are used to calculate the value of the vessel as the present value of future cashflow and perform sensitivity analysis with respect to input parameters such as vessel age, freight rate volatility, and scrap price. The second...