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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/1176

Title: Technical analysis in european futures market
Authors: Pinheiro, Tânia Sofia Mauhin
Advisor: Duque, João
Keywords: Technical Analysis
Moving Average
Bootstrapping
Issue Date: 17-Jul-2009
Publisher: Instituto Superior de Economia e Gestão
Citation: Pinheiro, Tânia Sofia Mauhin. 2009. "Technical analysis in european futures market". Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Abstract: Despite a strong initial receptivity, the wide spread of financial information, made technical analysis lose some of it adepts to fundamental analysis. Nevertheless, the number of arguments favoring technical analysis grew in past decades as some studies gave support to this technique. Following Brock, Lakonishok and LeBaron (1992) and Mills (1997) we examine returns generated by moving average and trading range break in DAX Futures from 1993 to 2007. Further, we test each strategy with one day of lag implementation of trading signals, however without any improvement in the results. Also, standard statistical tests and bootstrapping technique are performed on the technical indicators’ results addressed, giving a comprehensive indication of the results significance. However, the outcome obtained based on the statistical methods applied do not allow us to contradict the efficient market notion.
Description: Mestrado em Finanças
URI: http://hdl.handle.net/10400.5/1176
Appears in Collections:DG - Dissertações de Mestrado / Master Thesis
BISEG - Dissertações de Mestrado / Master Thesis

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