From Efficient Market Hypothesis To Swing Market Hypothesis
@inproceedings{Pan2003FromEM, title={From Efficient Market Hypothesis To Swing Market Hypothesis}, author={Heping Pan}, year={2003} }
This paper presents a joint review on professional technical analysis and academic quantitative analysis of the financial markets, aiming at bridging the deep gulf between the two fields and unifying them under a general science of intelligent finance or financial intelligence. While econometricians and econophysicians have recently reexamined technical analysis, most of their effort is focused on chart patterns and technical indicators, leading to some simplicity impression of technical…
No Paper Link Available
References
SHOWING 1-10 OF 51 REFERENCES
Scaling and criticality in a stochastic multi-agent model of a financial market
- EconomicsNature
- 1999
Financial prices have been found to exhibit some universal characteristics that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the…
The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks
- Mathematics
- 1996
A statistical analysis is provided of daily returns for 30 German stocks forming the DAX share index as well as the DAX itself during the period 1988–1994. Estimating the parameters of the stable…
How to reconcile Market Efficiency and Technical Analysis
- Economics
- 1999
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical…
Imprints of log-periodic self-similarity in the stock market
- Physics
- 1999
Abstract:Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period…
The Variation of Certain Speculative Prices
- Economics
- 1963
My efforts to improve on Bachelier's Brownian model started with markets on which the dominant factor is the highly non Gaussian nature of the distribution's tails. In IBM Report NC-87, liThe…
THE ECONOMETRICS OF FINANCIAL MARKETS
- EconomicsEconometric Theory
- 1998
The abundance of high-frequency financial data and the rapid development of computer hardware have combined to transform financial economics into, arguably, the most empirically oriented field within…
Renormalization group analysis of the 2000–2002 anti-bubble in the US S&P500 index: explanation of the hierarchy of five crashes and prediction
- Computer Science
- 2003
Swingtum – A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in A Quantum Price-Time Space
- Economics
- 2003
This paper presents the basic framework of a comprehensive computational theory of stock market behavior, which we call Swingtum, taking multivariate stock index time series data as input, and…
Are the contemporary financial fluctuations sooner converging to normal
- Economics
- 2003
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group…