On Discrete Investment Rules for Financial Markets |
Contents
An Artificial Technical Analysts view | 1 |
6 | 26 |
Risk Neutral Forecasting | 35 |
Copyright | |
3 other sections not shown
Common terms and phrases
algorithm Appendix arg max arg min Artificial Technical Analyst asset Assumption 4.1 asymptotic average rule b₁ behaviour binary Brock Chapter characterise computational conditional distribution conditional mean context converges decision problem defined discrete investment rules discretisation distribution of returns DJIA econometric economic empirical equicontinuity example expected utility financial markets financial series formalise Hence implies interest investment decisions Iµy least squares Lemma loss function Manski market efficiency minimise moving average neutral best predictor objective function obtained optimal decision optimisation parameter past prices performance Pesaran positive prediction profits properties propose pseudo-optimal quantile random variable regression mapping restricted risk function risk neutral best Risk Neutral Forecasting risk neutral investor risk-neutral RNBP Rt+1 sample Section sign of returns simulation solution specification standard statistical step function M-estimator Sufficient conditions technical trading rules transaction costs utility functions Y₁ zero