A tangent linear approach in technical trading strategy: the use of convexity path in stock market indices-Reference-Cited by-同舟云学术

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A tangent linear approach in technical trading strategy: the use of convexity path in stock market indices

Published:2012-03-23 Issue:2 Volume:13 Page:303-316
ISSN:1109-2858
Container-title:Operational Research
language:en
Short-container-title:Oper Res Int J

Author:

Philippas Dionisis Th.,Siriopoulos Costas

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Computational Theory and Mathematics,Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Modelling and Simulation,Numerical Analysis

Link

http://link.springer.com/content/pdf/10.1007/s12351-012-0124-z.pdf

Reference34 articles.

1. Allen F, Karjalainen R (1999) Using genetic algorithms to find technical trading rules. J Financ Econ 51(10):245–271

2. Audrino F, Barone-Adesi G (2006) A dynamic model of expected bond returns: a functional gradient descent approach. Comput Stat Data Anal 51(4):2267–2277

3. Brock W, Lakonishok J, LeBaron B (1992) Simple technical trading rules and the stochastic properties of stock returns. J Finance 47(5):1731–1764

4. Cheung YW, Chinn MD (2001) Currency traders and exchange rate dynamics: a survey of the US market. J Int Money Financ 20(4):439–471

5. Covel M (2005) Trend following: how great traders make millions in up or down markets? Prentice-Hall, New York

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