英文标题：
《Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI
Indices》
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作者：
Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis,
Ioannis Psaradellis
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最新提交年份：
2019
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英文摘要：
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for controlling data snooping bias. Compared to the existing methods, DFRD+/- is adaptive and more powerful, and accommodates for discrete p-values. The profitability, persistence and robustness of the technical rules are examined. Technical analysis still has short-term value in advanced, emerging and frontier markets. Financial stress, the economic environment and market development seem to affect the performance of trading rules. A cross-validation exercise highlights the importance of frequent rebalancing and the variability of profitability in trading with technical analysis.
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中文摘要：
我们调查了在2004-2015年研究期间，在12个分类和国家特定市场上使用21000多条技术交易规则构建的动态投资组合在不同长度的滚动结构上的表现。我们还介绍了一种控制数据监听偏差的离散错误发现率（DFRD+/-）方法。与现有方法相比，DFRD+/-具有自适应性和更强大的功能，可以适应离散的p值。审查了技术规则的盈利能力、持久性和稳健性。技术分析在先进、新兴和前沿市场仍具有短期价值。金融压力、经济环境和市场发展似乎会影响交易规则的执行。交叉验证活动强调了频繁重新平衡的重要性，以及通过技术分析交易中盈利能力的可变性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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