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A Refined MACD Indicator - Evidence against the Random Walk Hypothesis?

Abstract - Introduction

The traditional MACD Indicator

Analysis

Results

Model MACDR2 and Option Trading

Model MACDR2 and Trading Volume

Model MACDR2 and the Random Walk Hypothesis

Conclusion

References

A Refined MACD Indicator

References

Appel, G., “The Moving Average Convergence Divergence Method”, Great Neck, NY: Signalert, 1979

Brock W., Lakonishhok, J., and LeBaron B., “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns”, The Journal of Finance, December 1992

Seykota, E., “MACD: Sweet Anticipation?,” Technical Analysis of Commodities and Stocks, March 1991

Sullivan, R., Timmermann, S., and White H., “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap,” Journal of Finance 54, 1999, 1647-1691

Bibliography

Achellis, S., “Technical Analysis”, New York 1995

Copsey, I., “The Principles of Technical Analysis”, Dow Jones Telerate, 1993

Lakonishok, J., Seumour, S., “Are seasonal anomalies real? A ninety-year perspective”, Review of Financial Studies 1, p.403-425

LeBaron, B., “Technical Trading Rules and Regime Shifts in Foreign Exchange”, Working Paper 1990, University of Wisconsin-Madison

Lo, A., Mamaysky, H., and Wang, J., “Foundations of Technical Analysis: Computational Algo-rithms, Statistical Inference, and Empirical Implementation,” Journal of Finance 55, 2000, 1705-1765

Malkiel, B., “A Random Walk Down Wallstreet,” New York 1995

Meissner, G., “Trading Financial Derivatives,” Neeham Heights 1999

Meissner, G., “Outperforming the Dow: Using Future, Options and Portfolio Strategies to Beat the Market,” September 2000

Murphy, J., “Technical Analysis of the Futures Market”, Haarlem 1991

Nelson, D., “Conditional Hetero-skedasticity in Asset Returns: A New Approach,” Econometrica 1991, 59, p. 347-370

Van Horne C., Parker, G., “The Random Walk Theory: An Empirical Test”, Financial Analysts Journal 1967, 23, p. 87-92

Poterba., J., Summers L., “Mean Reversion in Stock Prices: Evidence and Implications,” Journal of Financial Economics, 1988, 22, p. 27-59

Gunter Meissner, Albin Alex and Kai Nolte

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