摘要翻译:
许多研究表明,有充分的理由认为货币的可预测性很低,然而,与真实随机性的偏差存在,具有潜在的预测和预测能力[J.James,量化金融3(2003)C75-C77]。我们分析当地的趋势,这是技术分析的主要焦点。本文介绍了不同的统计量对单个时间离散化趋势或多个趋势对应不同时滞的检验作用。我们基于欧元-美元货币对的一分钟频率数据的具体分析表明趋势的累积非随机效应对预测性能的重要性。
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英文标题:
《Market inefficiency identified by both single and multiple currency
trends》
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作者:
Tom\'a\v{s} Tok\'ar, Denis Horv\'ath
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最新提交年份:
2011
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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:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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英文摘要:
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3 (2003) C75-C77]. We analyze the local trends which are of the main focus of the technical analysis. In this article we introduced various statistical quantities examining role of single temporal discretized trend or multitude of trends corresponding to different time delays. Our specific analysis based on Euro-dollar currency pair data at the one minute frequency suggests the importance of cumulative nonrandom effect of trends on the forecasting performance.
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PDF链接:
https://arxiv.org/pdf/1110.2612