In this paper we review some recent results concerning the approximations of distribution functions and measures on [0, 1] based on iterated function systems.
The two different approaches available in the literature are considered and their relation are investigated in the statistical perspective. In the second part of the paper we propose a new class of estimators for the distribution function and the related characteristic and density functions. Glivenko-Cantelli, LIL properties and local asymptotic minimax efficiency are established for some of the proposed estimators. Via Monte Carlo analysis we show that, for small sample sizes, the proposed estimator can be as efficient or even better than the empirical distribution function and the kernel density estimator respectively. This paper is to be considered as a first attempt in the construction of new class of estimators based on fractal objects. Pontential applications to survival analysis with random censoring are proposed at the end of the paper.
Stefano M. Iacus Davide La Torre
It is demonstrated in this paper that the exchange rate "overshoots the overshooting equilibrium" when chartists are introduced into a sticky-price monetary model due originally to Dornbusch (1976). Chartists are introduced since questionnaire surveys reveal that currency trade to a large extent is based on technical trading, where moving averages is the most commonly used technique. Prof. Mikael Bask and Carina Selander
This paper aims to pursue two closely connected purposes. The first is to provide a theoretical framework, based on coherence constraints, for a technique of multicriteria analysis that allows to convert a partial pre-order into a total pre-order. By Dr Elvio Mattioli
In this note, we aim to emphasize the mathematical tractability of the model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment. M. Di Francesco, Andrea Pascucci
The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. By Fernando Rubio, Director FERNCAPITAL S.A. and Invited Professor at the Graduated Business School Universidad de Valparaíso, Chile.
In this discussed draft, we want to present the Partial Distribution (F.Dai, 2001) for discussing. We compare the partial distribution with lognormal and levy distribution. By Prof. Feng Dai, CHINA
I will try to describe that common thread by breaking chart patterns into generic components and examining each in turn before assembling them into a single model.
By Prof. Daniel L. Chesler
In this paper we assesss whether some simple forms of technical analysis can predict stock price movements in the Madrid Stock Exchange. By F. Fernández, S. Sosvilla and J. Andrad
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price for- mation. By Prof. R. Baviera, Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva Published by International Journal of Theoretical and Applied Finance 6, 2002
This paper presents the basic framework of a comprehensive computational theory of stock market behavior, which we call Swingtum, taking multivariate stock index time series data as input, and producing probabilistic predictions of stock index movement at multiple time frames. By Prof. Heping Pan
This thesis consists of four papers. The first three deal with deterministic chaos in exchange rate series whereas the fourth deals with technical analysis in the foreign exchange market. Mikael Bask
This method requires formulas that are not always easy or possible to find. In this document, we present the corresponding approximations for both Euler and Milstein schemes for the usual Geometric Brownian Motion and the stochastic volatility models. Also, we present five methods of how we can simulate the double integrals for the 2 dimensional Milstein approximation. By Prof. Klaus Erich Schmitz Abe
The purpose of this document is to introduce implied, local and stochastic volatility, to review evidence of non-constant volatility, and to consider the implications for option pricing of alternative random or stochastic volatility models. We focus on continuous time diffusion models for the volatility, but we also briefly discuss certain classes of discrete time models, such as ARV or ARCH. By Prof. Klaus Erich Schmitz Abe
It is shown in this letter that the magnitude of exchange rate overshooting is larger than in Dornbusch (1976) when chartists are introduced into the model. Also, the extent of overshooting depends inversely on the planning horizon. The latter follows from explicitly modelling the empirical observation that, for shorter planning horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer planning horizons. I am grateful to Karl-Gustav Lofgren for helpful comments. A research grant from the Swedish Foundation for International Cooperation in Research and Higher Education (STINT) is also gratefully acknowledged. Prof. Mikael Bask