Testing the generalised efficacy of technical analysis with bootstrapped aggregated regression trees

Conference paper


Zapranis, A. and Tsinaslanidis, P. 2012. Testing the generalised efficacy of technical analysis with bootstrapped aggregated regression trees.
AuthorsZapranis, A. and Tsinaslanidis, P.
TypeConference paper
Description

In this paper we examine the predictive power of the combined use of 23 known technical patterns and indicators, on 25 of the world’s most famous market indices, over the last decade. The system implemented for the combination of the above tools is bootstrapped aggregated regression trees, which is an ensemble nonparametric and nonlinear method and allows us to use numerical and categorical input variables simultaneously. Indications of inefficiencies are found, but their magnitude is not sufficient in order to characterise the aforementioned markets as weak form inefficient. In contrast, our overall conclusion suggests that technical analysis might marginally contribute in the interpretation of the manner that returns are evolved.

Year2012
Conference4th International Conference in Accounting and Finance
Publication process dates
Deposited03 Nov 2014
Output statusPublished
Page range168-185
Publication dates
Print2012
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https://repository.canterbury.ac.uk/item/871wv/testing-the-generalised-efficacy-of-technical-analysis-with-bootstrapped-aggregated-regression-trees

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