English, Article, Journal or magazine article edition: When RSI met the Binomial-Tree Rodrigo Alfaro; Andrés Sagner

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Bookmark: http://trove.nla.gov.au/version/5335
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • When RSI met the Binomial-Tree
Author
  • Rodrigo Alfaro
  • Andrés Sagner
Physical Description
  • preprint
Notes
  • In this paper we provide a useful method to forecast one the most popular technical analysis tool: the Relative Strength Index (RSI). This method is based on the assumption that stock price can be characterized by the standard binomial model widely used for pricing option. The algorithm is as simple as to code a standard European option. An empirical application to the exchange rate chilean peso and dollar is provided. The results show that the proposed method is superior to the usual ARMA modeling.
  • RePEc:chb:bcchwp:520
Language
  • English
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