Essays on Exchange Rates Deterministic Chaos and Technical Analysis
Detecting chaotic dynamics in observed time series
Reconstruction of the dynamics
Choosing the proper reconstruction parameters
Testing for chaotic dynamics in observed time series
Short summaries of Papers [ii]
Short summaries of Papers [iii]
Technical analysis in the foreign exchange market
Essays on Exchange Rates Deterministic Chaos and Technical Analysis
3.1.2 Momentum lines
Another, but less common, trading rule used by chartists is the momentum line rule (Taylor and Allen, 1992).
According to this trading rule, a buy signal is generated when the current rate of change begins to increase relative to the rate of change n days ago. A sell signal is otherwise generated."
In its simplest form, n = 0, which means that a buy signal is generated when the current rate of change begins to increase.
Prof. Mikael Bask
Essays on Exchange Rates Deterministic Chaos and Technical Analysis
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.