This article assumes general stationary processes for prices and derives the autocorrelation function for a general Moving Average (MA) trading rule to investigate why this rule is used. The result shows that the MA rule is popular because it can identify the price momentum and is a simple way of tracing and exploiting the price autocorrelation structure without actually knowing it. We focus on analyzing the impact of price momentum on the profitability of the
MA rule because the price momentum effect tends to be stronger and longer-lived than the return momentum effect.
학회소식
공지사항
[2011년 제 4차] Technical Analysis, Momentum and Autocorrelation
작성자 : 관리자
조회수 : 740
게시일 :
2011-12-07