A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
Monte Carlo and Quasi-Monte Carlo Methods 2004
We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical analysis techniques when the model is misspecified. The comparisons are based on Monte Carlo simulations.doi:10.1007/3-540-31186-6_2 fatcat:skfodeuwjrak7ifd7ff5mmwwvu