Foreign exchange trading models and market behavior

DOI10.1016/S0165-1889(02)00049-0zbMath1178.91107WikidataQ105592793 ScholiaQ105592793MaRDI QIDQ951335

Ramazan Gençay, Richard B. Olsen, Michel M. Dacorogna, Olivier V. Pictet

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

exponential moving averagesreal-time trading modelsrobust kernelstechnical trading

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

Related Items

TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?

Cites Work

• Effective return, risk aversion and drawdowns
• Generalized autoregressive conditional heteroscedasticity
• Unnamed Item