Cover for Advanced Trading Rules

Advanced Trading Rules

A volume in Quantitative Finance

Book • Second Edition2002

Edited by:

E. Acar and S. Satchell

Advanced Trading Rules

A volume in Quantitative Finance

Book • Second Edition2002

 

Cover for Advanced Trading Rules

Edited by:

E. Acar and S. Satchell

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Book description

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought ... read full description

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  2. Book chapterNo access

    Introduction

    Pages 1-5

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    Chapter 1 - Technical trading rules and regime shifts in foreign exchange

    BLAKE LEBARON

    Pages 6-41

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    Chapter 2 - Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation

    ANDREW W. LO, HARRY MAMAYSKY and JIANG WANG

    Pages 42-111

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    Chapter 3 - Mean-variance analysis, trading rules and emerging markets

    DAAN MATHEUSSEN and STEPHEN SATCHELL

    Pages 112-121

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    Chapter 4 - Expected returns of directional forecasters

    EMMANUEL ACAR

    Pages 122-151

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    Chapter 5 - Some exact results for moving-average trading rules with applications to UK indices

    GEORGE W. KUO

    Pages 152-173

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    Chapter 6 - The portfolio distribution of directional strategies

    EMMANUEL ACAR and STEPHEN STEPHEN

    Pages 174-182

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    Chapter 7 - The profits to technical analysis in foreign exchange markets have not disappeared

    JOHN OKUNEV and DEREK WHITE

    Pages 183-248

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    Chapter 8 - The economic value of leading edge techniques for exchange rate prediction

    CHRISTIAN L. DUNIS

    Pages 249-263

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    Chapter 9 - Is more always better? Head-and-shoulders and filter rules in foreign exchange markets

    P.H. KEVIN CHANG and CAROL L. OSLER

    Pages 264-278

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    Chapter 10 - Informative spillovers in the currency markets: a practical approach through exogenous trading rules

    PIERRE LEQUEUX

    Pages 279-311

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    Chapter 11 - Stop-loss rules as a monitoring device: theory and evidence from the bond futures market

    BERNARD BENSAID and OLIVIER DE BANDT

    Pages 312-344

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    Chapter 12 - Evolving technical trading rules for S&P 500 futures

    RISTO KARJALAINEN

    Pages 345-366

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    Chapter 13 - Commodity trading advisors and their role in managed futures

    DEREK EDMONDS

    Pages 367-387

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    Chapter 14 - BAREP futures funds

    DAVID OBERT and EDOUARD PETITDIDIER

    Pages 388-418

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    Chapter 15 - The need for performance evaluation in technical analysis

    FELIX GASSER

    Pages 419-439

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    Index

    Pages 441-449

About the book

Description

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets.

Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail.

Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts.

Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance.

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets.

Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail.

Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts.

Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance.

Key Features

  • The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers
  • Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation
  • Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
  • The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers
  • Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation
  • Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns

Details

ISBN

978-0-7506-5516-3

Language

English

Published

2002

Copyright

Copyright © 2002 Elsevier Ltd. All rights reserved

Imprint

Butterworth-Heinemann

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Editors

E. Acar

Bank of America

S. Satchell

Trinity College, Cambridge and Faculty of Economics, University of Cambridge, Cambridge