Essays on technical analysis in financial markets

Technical analysis is the study of price movements in traded markets so as to forecast future movements or identify trading opportunities. Following a review of the history and research of technical analysis, three empirical chapters evaluate a number of propositions popular among technical analysts. One approach used widely over the last century assumes that support and resistance levels can be predicted by projecting the ratios between the length and duration of successive trends, in particular using Fibonacci ratios like 1.618. This proposition is rejected for the Dow Jones Industrial Average by identifying turning points and testing for clustering by developing a block bootstrap procedure. A few significant ratios appear to support such anchoring by the market, but no more than would be expected by chance. The thesis then reports a survey based experiment that tests whether individuals themselves do have an in-built tendency to anchor forecasts of future trends on previous trends. The significance of the survey results are tested using a novel kernel density estimator based bootstrap methodology. Respondents' forecasts do bear some relationship to the size of the most recent trend by certain whole-number ratios by more often than would be expected by chance. The third experiment addresses the criticism that academic studies do not use a rich enough characterisation of technical analysis. 120 active market-timing strategies are tested using a regression based framework of equity fundamentals, macroeconomic fundamentals, behavioural variables and a diverse set of mainstream statistical indicators from technical analysis. Our recursive approach uses time-invariant rolling and expanding estimation windows as well as conditional windows based on the presence of structural breaks, identified using the conditional reverse ordered cusum method (ROC), of Pesaran and Timmermann (2002). Models that include both fundamental and technical indicators perform well, even allowing for realistic levels of transactions costs. And accounting for structural instability via the ROC method also improves performance

Eyeballing heuristics for dynamic lot sizing problems with rolling horizons

Computers and Operations Research244379-385CMOR

What is the lived experience of Advanced Nurse Practitioners of managing risk and patient safety in acute settings? A phenomenological perspective

Background: Managing clinical risk and patient safety is high on clinical and political agendas. Advanced Nurse Practitioners (ANPs) are frontline practitioners making critical decisions regarding risk and patient safety. Whilst research around nurse decision-making has been conducted, the extent to which ANPs manage and navigate patient safety and risk is under-researched. Research question: What is the lived experience of Advanced Nurse Practitioners of managing risk and patient safety in acute settings? A phenomenological perspective.Method: Ten ANPs across three acute settings were recruited and iterative data collected over ten months on experiences of managing risk and safety (reflective interviews, written reflections, researcher journal). Data analysis was based on Van Manen’s approach, assisted by NVivo 11 to facilitate circles of interpretation with each data source.Findings: In an environment driven by time pressures, how practitioners cope with managing risk and patient safety is dependent on the presenting situation, breadth of knowledge-base, application of evidence, degree of perceived management support, and channelling of emotive moods. In situations of uncertainty, insufficient knowledge, and/or lack of information, practitioners were guided by care, concern, worry, feeling happy or comfortable and, in critical times, fuelled by fear. These were illuminated to be both drivers and barriers to practitioners’ capabilities in grasping patient presentations. Snapshot judgements were individualized and negotiated dependent on practitioners’ and patients’ capacity to cope with risk. Experiences of risk often identified a learning need or knowledge deficit, revealing an opportunity to develop and advance ANP practice.Implications: These findings have implications for the preparation, training, and ongoing educational and emotional support of ANPs within their practice. Recognising the emotional toll of managing risk and providing the necessary support will ultimately positively impact recruitment and retention of these crucial health care professionals

A study of the moral development, beliefs and relationships of the criminal entrepreneur

The thesis focuses on ‘criminal entrepreneurs,’ i.e. those individuals who behave in an entrepreneurial manner who have chosen a life of crime to obtain an income or create wealth rather than setting up and running their own legitimate businesses. The research is based on male prisoners, predominantly fraudsters and drug dealers, and was motivated by the assertion that by understanding why they have chosen this way of life it may be possible to encourage such people to use their entrepreneurial skills in a legitimate context thereby reducing recidivism. Based on an epistemological constructivist approach, the methodology used was a phenomenological one and included a moral dilemma, an ethics questionnaire and personal construct psychology linked with case studies. This is a novel approach in that it uses Kelly’s (1955) personal construct theories and repertory grid techniques in order to identify the criminal entrepreneurs’ constructs and the moral stances that they adopt when making sense of their world. The findings showed that moral reasoning theories with respect to offenders do not offer a reliable guide to moral or ethical behaviour and ignore relationships which were an important feature of the criminal entrepreneur’s life. For instance a strong bond was found to exist between some of the respondents and their parents, particularly the mother, and role models were important in their lives

Proceedings of the inaugural construction management and economics ‘Past, Present and Future’ conference CME25, 16-18 July 2007, University of Reading, UK

This conference was an unusual and interesting event. Celebrating 25 years of Construction Management and Economics provides us with an opportunity to reflect on the research that has been reported over the years, to consider where we are now, and to think about the future of academic research in this area. Hence the sub-title of this conference: “past, present and future”. Looking through these papers, some things are clear. First, the range of topics considered interesting has expanded hugely since the journal was first published. Second, the research methods are also more diverse. Third, the involvement of wider groups of stakeholder is evident. There is a danger that this might lead to dilution of the field. But my instinct has always been to argue against the notion that Construction Management and Economics represents a discipline, as such. Granted, there are plenty of university departments around the world that would justify the idea of a discipline. But the vast majority of academic departments who contribute to the life of this journal carry different names to this. Indeed, the range and breadth of methodological approaches to the research reported in Construction Management and Economics indicates that there are several different academic disciplines being brought to bear on the construction sector. Some papers are based on economics, some on psychology and others on operational research, sociology, law, statistics, information technology, and so on. This is why I maintain that construction management is not an academic discipline, but a field of study to which a range of academic disciplines are applied. This may be why it is so interesting to be involved in this journal. The problems to which the papers are applied develop and grow. But the broad topics of the earliest papers in the journal are still relevant today. What has changed a lot is our interpretation of the problems that confront the construction sector all over the world, and the methodological approaches to resolving them. There is a constant difficulty in dealing with topics as inherently practical as these. While the demands of the academic world are driven by the need for the rigorous application of sound methods, the demands of the practical world are quite different. It can be difficult to meet the needs of both sets of stakeholders at the same time. However, increasing numbers of postgraduate courses in our area result in larger numbers of practitioners with a deeper appreciation of what research is all about, and how to interpret and apply the lessons from research. It also seems that there are contributions coming not just from construction-related university departments, but also from departments with identifiable methodological traditions of their own. I like to think that our authors can publish in journals beyond the construction-related areas, to disseminate their theoretical insights into other disciplines, and to contribute to the strength of this journal by citing our articles in more mono-disciplinary journals. This would contribute to the future of the journal in a very strong and developmental way. The greatest danger we face is in excessive self-citation, i.e. referring only to sources within the CM&E literature or, worse, referring only to other articles in the same journal. The only way to ensure a strong and influential position for journals and university departments like ours is to be sure that our work is informing other academic disciplines. This is what I would see as the future, our logical next step. If, as a community of researchers, we are not producing papers that challenge and inform the fundamentals of research methods and analytical processes, then no matter how practically relevant our output is to the industry, it will remain derivative and secondary, based on the methodological insights of others. The balancing act between methodological rigour and practical relevance is a difficult one, but not, of course, a balance that has to be struck in every single paper