第8章 基于经验证据的技术分析.ppt

第8章 基于经验证据的技术分析 第8章 基于经验证据的技术分析 王志强 东北财经大学金融学院 8 Evidence-based Technical Analysis 8.1 Introduction 8.2 Survey Studies 8.3 Theory 8.4 Empirical Studies 8.5 Summary and Conclusion Reference PARK, Cheol-Ho, and Scott H. IRWIN, 2004, The Profitability of Technical Analysis: A Review. AgMAS Project Research Report 2004-04, University of Illinois at Urbana-Champaign, Urbana. 8.1 Introduction Technical analysis includes a variety of forecasting techniques such as chart analysis, pattern recognition analysis, seasonality and cycle analysis, and computerized technical trading systems. However, academic research on technical analysis is generally limited to techniques that can be expressed in mathematical forms, namely technical trading systems, although some recent studies attempt to test visual chart patterns using pattern recognition algorithms. 8.1 Introduction Since Charles H. Dow first introduced the Dow theory in the late 1800s, technical analysis has been extensively used among market participants such as brokers, dealers, fund managers, speculators, and individual investors in the financial industry. Numerous surveys indicate that practitioners attribute a significant role to technical analysis. 8.1 Introduction In contrast to the views of many practitioners, most academics are skeptical about technical analysis. Rather, they tend to believe that markets are informationally efficient and hence all available information is impounded in current prices. Nevertheless, in recent decades rigorous theoretical explanations for the widespread use of technical analysis have been developed based on noisy rational expectation models, behavioral (or feedback) models, disequilibrium models, herding models, agent-based models, and chaos theory. 8.1 Introduction Since Donchian (1960), numerous empirical studies have tested the profitability of technical trading rules in a variety of markets for the purpose of either uncovering profitable trading rules or testing market efficiency