A Mathematical Analysis of Technical Analysis

@article{Lorig2019AMA,
  title={A Mathematical Analysis of Technical Analysis},
  author={Matthew J. Lorig and Zhou Zhou and Bin Zou},
  journal={Applied Mathematical Finance},
  year={2019},
  volume={26},
  pages={38 - 68}
}
ABSTRACT In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form solutions when the drift of the underlying is modelled by either an Ornstein-Uhlenbeck process or a two-state continuous-time Markov chain. For the case of an Ornstein-Uhlenbeck drift, we carry out several Monte Carlo experiments in order to… Expand
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