Technical Analysis: Capturing Alpha in Trending Markets
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Authors
Dickson, William
Issue Date
2009
Type
Thesis
Language
en_US
Keywords
Alternative Title
Abstract
Technical analysis is a very common investment tool used by traders to
attempt to earn returns great than the market average. This paper will
first discuss the background of technical analysis and its implications to
the efficient market hypothesis. A simulation is also conducted that back-tests
eight commonly used technical trading strategies across a diverse set
of seven futures markets to determine if the efficient market hypothesis
holds. The results show that ·only the Japanese Yen produces abnormal
returns, which is not sufficient evidence to refute the efficient market
hypothesis. Finally,, the paper will try to rationalize the results by discussing
arbitrage pricing theory, auto-correlations of the futures markets
and other topics.
Description
38 p.
Citation
Publisher
License
U.S. copyright laws protect this material. Commercial use or distribution of this material is not permitted without prior written permission of the copyright holder.