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dc.contributor.authorKong, Xianzhengen_US
dc.date.accessioned2015-04-06T20:14:14Z
dc.date.available2020-01-27T07:00:59Z
dc.date.issued2015-01-26en_US
dc.identifier.otherbibid: 9154543
dc.identifier.urihttps://hdl.handle.net/1813/39431
dc.description.abstractThis study investigates the empirical evidence for the profitability of the chart patterns used widely by practitioners to identify market trend movements. The results show that for a certain group of traders, trading strategies based on the patterns identified in the stock market can generate abnormal returns after correcting for the three Fama-French factors. Further, it shows that the standard econometric and mathematical finance models used to simulate stock returns cannot capture the full complexity of the true market data generating process. The analysis also demonstrates that the stochastic volatility model proposed by Heston does provide improved performance and does explain a substantial part of the abnormal returns. This is accomplished by simulating more complex volatility innovation structures and describing the market dynamics more accurately. IIIen_US
dc.language.isoen_USen_US
dc.subjectChart Patternen_US
dc.subjectStochastic Propertyen_US
dc.titleTechnical Patterns And Stochastic Properties Of Asset Returnsen_US
dc.typedissertation or thesisen_US
thesis.degree.disciplineAgricultural Economics
thesis.degree.grantorCornell Universityen_US
thesis.degree.levelDoctor of Philosophy
thesis.degree.namePh. D., Agricultural Economics
dc.contributor.chairMount, Timothy Douglasen_US
dc.contributor.committeeMemberJarrow, Robert A.en_US
dc.contributor.committeeMemberKarolyi, George Andrewen_US
dc.contributor.committeeMemberLiu, Edith X.en_US


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