English, Article edition: Trading indicators with information-gap uncertainty Colin J. Thompson; Anthony J. Guttmann; Ben J.P. Thompson

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/30940
Physical Description
  • article
Language
  • English

Edition details

Title
  • Trading indicators with information-gap uncertainty
Author
  • Colin J. Thompson
  • Anthony J. Guttmann
  • Ben J.P. Thompson
Physical Description
  • article
Notes
  • Purpose – This paper aims to provide a new quantitative methodology for predicting turning points and trends in financial markets time series based on information-gap decision theory. Design/​methodology/​approach – Uncertainty in future returns from financial markets is modeled using information-gap decision theory. The robustness function, which measures immunity to uncertainty, yields an additional time series whose turning points anticipate and reflect those of the underlying financial market time series. Findings – The robustness function falling above or below certain thresholds is shown to provide a new reliable technical indicator for predicting highs and lows in financial markets. In addition, iterates of the robustness function are shown in certain cases to predict trends in financial markets. Research limitations/​implications – In the analysis and application presented here the authors have only considered a special case of the robustness function. Stricter performance requirements and alternative process model estimates for future returns could be included in the information-gap model formulation and analysis. Practical implications – An additional technical trading tool for applying Information-Gap theory to financial markets has been provided. Originality/​value – This paper provides a new reliable methodology for constructing technical indicators for use by traders and fund managers in financial markets. Originality/​value – The study serves as an information source for investors in the insurance industry.
  • Financial modelling, Information, Uncertainty management
  • RePEc:eme:jrfpps:v:9:y:2008:i:5:p:467-476
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment