Moving Average Trading Rules for NASDAQ Composite Index

The Stability of Moving Average Technical Trading Rules on the Dow Jones Index

This paper analyzes the behavior of moving average technical trading rules applied to over 100 years of the Dow Jones Industrial Index. It is found that the differences between conditional means during buy and sell periods has changed dramatically over the previous 10 years relative to the previous 90 years of data, but differences in conditional variances have not changed much over the entire ...

A Dynamic Analysis of Moving Average Rules

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type used in practice. In this paper we propose a dynamic financial market model in which demand for trad...

Stock market trading rule discovery using pattern recognition and technical analysis

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...

Evolving Market Index Trading Rules Using Grammatical Evolution

Moving Average Processes with Infinite Variance

The sample autocorrelation function (acf) of a stationary process has played a central statistical role in traditional time series analysis, where the assumption is made that the marginal distribution has a second moment. Now, the classical methods based on acf are not applicable in heavy tailed modeling. Using the codifference function as dependence measure for such processes be shown it be as...