Tid: 10 juni 2003 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Christèle Jörud
Titel: Technical Analysis in the Financial Market; Critical Approach and Practical Improvements. (Examensarbete)
Sammanfattning:
The apparent conflict between practitioners and non-believers of the efficiency of technical analysis is a long-standing conundrum. This paper attempts to develop strategies using technical analysis that enables portfolio managers to improve their return on investments. The objectives of this study are to test the predictability of the most frequently used technical indicators and to find the optimal indicator solutions. We find strong evidence consistent with the hypotheses that technical indicators reveal information about an asset's price movement and that the use of technical indicators ameliorates the return on investment. In the light of the results, we help reconcile the traditional views with technical analysis and provide a general method on how to optimally apply the technical indicators on portfolios.