Nicolau, Mihaela (2010): Practitioners' tools in analysing financial markets evolution. Forthcoming in: Acta Universitatis Danubius - Oeconomica
Download (221kB) | Preview
In a chaotic and confusing place as world of investing is, the practitioners, who operate on markets every day, have continuously searched to forecast properly the market movements. More minded to financial speculations, practitioners analyse financial markets looking for potential weaknesses of the Efficient Market Hypothesis, and most of the times their methods are criticised by academics. This article intends to present the traditional tools used by traders and brokers in analysing financial markets, emphasizing on critical opinions and scientific works published on this argument by now.
|Item Type:||MPRA Paper|
|Original Title:||Practitioners' tools in analysing financial markets evolution|
|English Title:||Practitioners' tools in analysing financial markets evolution|
|Keywords:||Efficient Market Hypothesis, financial market analysis, fundamental analysis, technical analysis.|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G19 - Other
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Mihaela Nicolau|
|Date Deposited:||05. Oct 2010 00:13|
|Last Modified:||01. Mar 2013 12:26|
Bachelier, I. (1900). Theory of speculation, in P. Cootner (ed.), The Random Character of Stock Market Prices, Massachusetts Institute of Technology Press, Cambridge, Ma., 1964, reprint.
Bailey, R. E. (2005). The economics of financial markets, Cambridge University Press, New York.
Bodie, Z., Kane, A. and Marcus, A. (2003). Essentials of investments, MacGraw-Hill Companies.
Brock, W. and Hommes, C. (1997). Models of complexity in economics and finance, in C. Heij, J. Schumacher, B. Hanzon, C. Praagman (eds.), System Dynamics in Economic and Financial Models, John Wiley and Sons, New York.
Brock, W. and Hommes, C. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal of Economic Dynamics and Control 22, pp.1235 – 1274.
Campbell, J. Y. and MacKinley, C. A. (1997). The econometrics of financial markets, Princeton University Press, Princeton, New Jersey.
Chorafas, D. N. (2005). The management of bond investments and trading of debt, Elsevier Butterworth-Heinemann, Oxford. Cottle, S., Murray, R. and Block, F. (1988). Graham and Dodd's security analysis, McGraw-Hill, New York, 5th edn.
Cowles, A. (1933). Can stock market forecasters forecast?, Econometrica I, pp.309 – 324.
De Bondt, W. F. (1992). Security analysts, in J. Eatwell, P. Newman, M. Milgate (eds.), The New Palgrave Dictionary of Money and Finance, Vol. 3, Macmillan, London.
De Bondt, W. F. and Thaler, R. (1989). A mean-reverting walk down Wall Street, Journal of Economic Perspective (3), pp.189 – 202.
Edirisinghe, N. and Zhang, X. (2007). Generalized DEA model of fundamental analysis and its application to portfolio optimization, Journal of Banking and Finance 31, pp. 3312 – 3335.
Edwards, R. and Magee, J. (1992). Technical analysis of stock trends, J. Magee Institute, Boston.
Elleuch, J. (2009). Fundamental analysis strategy and the prediction of stock returns, International Research Journal of Finance and Economics 30, pp. 95 -107.
Fama, F. (1970), Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, pp. 383 – 417.
Gallo, G. and Pacini, B. (2002). Metodi quantitativi per i mercati finanziari, Carocci, Roma.
Kendall, M. (1953), The analysis of economic time series. Part I: Prices, Journal of the Royal Statistical Society. Series A (General) 116(1), pp. 11 - 34.
Kirman, A. (1991). Epidemics of opinion and speculative bubbles in financial markets, in M. Taylor (ed.) Money and Financial Markets, Blackwell, Oxford.
Lee, C.C., Lee, J.D. and Lee, C.C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks, Japan and the World Economy 22, pp. 49 - 58.
Lim, E., Gallo, J. and Swanson, P. (1998). The relationship between international bond markets and international stock markets, International Review of Financial Analysis 7(2), pp. 181 - 190.
Lui, Y.H. and Mole, D. (1998), The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence, Journal of International Money and Finance 17, pp. 535 - 545.
Lux, T. and Marchesi, M. (2000). Volatility clustering in financial markets: a micro-simulation of interacting agents", International Journal of Theoretical and Applied Finance (3), pp. 675 - 702.
Marshall, B.R., Cahan, R.H. and Cahan, J.M. (2008). Does intraday technical analysis in the U.S. equity market have value?, Journal of Empirical Finance 15, pp. 199 - 210.
Neftci, S.N. (1991). Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory: A study of Technical analysis, The Journal of Business 64(4), pp. 549 - 571.
Ou, J.A. and Penman S.H. (1989). The financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics 11(4), pp. 295 - 329.
Piotroski, J.D. (2000).Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38, pp. 1 - 41.
Ruggiero, M.A.J. (1997). Cybernetic trading strategies, John Wiley and Sons, New Jersey.
Samuelson, P. (1965). Proof that properly anticipated prices fluctuate randomly, Industrial Management Review 6, pp. 41- 49.
Thomsett, M.C. (2006). Getting started in fundamental analysis, John Wiley and Sons, New Jersey.
Tramontana, F., Westerhoff, F. and Gardini, L. (2010). On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders, Journal of Economic Behaviour & Organization 74(3), pp. 187 - 205.
Westerhoff, F. (2003). Speculative markets and the effectiveness of price limits, Journal of Economic Dynamics and Control 28, pp. 493 - 508.
Westerhoff, F. and Reitz, S. (2005). Commodity price dynamics and the non-linear market impact of technical traders: empirical evidence for the US corn market, Physica A 349, pp. 641 - 648.
Available Versions of this Item
- Practitioners' tools in analysing financial markets evolution. (deposited 05. Oct 2010 00:13) [Currently Displayed]