Dissertation (Metadaten)
Titel:The efficient market hypothesis through the eyes of an artificial technical analyst
 
Autor:Timur Yusupov
 
URN:NBN:urn:nbn:de:gbv:8-diss-21219
 
Fakultät:Wirtschafts- und Sozialwissenschaftliche Fakultät
DDC Sachgebiet:330 Wirtschaft
 
Datum der mdl. Prüfung:11.04.2007
 
Referent(in):Prof. Dr. Thomas Lux
Korreferent(en) Korreferentin:Prof. Dr. Roman Liesenfeld
 
Beschreibung:The academic literature has been reluctant to accept technical analysis as a rational strategy of traders in financial markets. In practice traders and analysts heavily use technical analysis to make investment decisions. To resolve this incongruence the aim of this study is to translate technical analysis into a rigorous formal framework and to investigate its potential failure or success. To avoid subjectivism we design an Artificial Technical Analyst. The empirical study presents the evidence of past market inefficiencies observed on the Tokyo Stock Exchange. The market can be perceived as inefficient if the technical analyst's transaction costs are below the break-even level derived from technical analysis. (English)
 
Schlagworte:Efficient Market Hypothesis, Technical Analysis, High-Frequency Finance, Transaction Costs, Tokyo Stock Exchange, Tick-by-Tick Stock Prices, Classifier Systems, Time Series Homogenization, Piecewise Linear Approximation, (English)
 
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