Fundamental Framework for Technical Analysis

Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the deviation or defects from the random walk market state and its time-translational invariant properties. The classification relies on two dimensionless parameters, the Froude number characterizing the relative strength of the acceleration with respect to the velocity and the time horizon forecast dimensionalized to the training period. Trend-following and contrarian patterns are found to coexist and depend on the dimensionless time horizon. The classification is based on the symmetry requirements of invariance with respect to change of price units and of functional scale-invariance in the space of scenarii. This ``renormalized scenario'' approach is fundamentally probabilistic in nature and exemplifies the view that multiple competing scenarii have to be taken into account for the same past history. Empirical tests are performed on on about nine to thirty years of daily returns of twelve data sets comprising some major indices (Dow Jones, SP500, Nasdaq, DAX, FTSE, Nikkei), some major bonds (JGB, TYX) and some major currencies against the US dollar (GBP, CHF, DEM, JPY). Our ``renormalized scenario'' exhibits statistically significant predictive power in essentially all market phases. In constrast, a trend following strategy and trend + acceleration following strategy perform well only on different and specific market phases. The value of the ``renormalized scenario'' approach lies in the fact that it always finds the best of the two, based on a calculation of the stability of their predicted market trajectories.Comment: Latex, 27 page

KAPTUR: technical analysis report

Led by the Visual Arts Data Service (VADS) and funded by the JISC Managing Research Data programme (2011-13) KAPTUR will discover, create and pilot a sectoral model of best practice in the management of research data in the visual arts in collaboration with four institutional partners: Glasgow School of Art; Goldsmiths, University of London; University for the Creative Arts; and University of the Arts London. This report is framed around the research question: which technical system is most suitable for managing visual arts research data? The first stage involved a literature review including information gathered through attendance at meetings and events, and Internet research, as well as information on projects from the previous round of JISCMRD funding (2009-11). During February and March 2012, the Technical Manager carried out interviews with the four KAPTUR Project Officers and also met with IT staff at each institution. This led to the creation of a user requirement document (Appendix A), which was then circulated to the project team for additional comments and feedback. The Technical Manager selected 17 systems to compare with the user requirement document (Appendix B). Five of the systems had similar scores so these were short-listed. The Technical Manager created an online form into which the Project Officers entered priority scores for each of the user requirements in order to calculate a more accurate score for each of the five short-listed systems (Appendix C) and this resulted in the choice of EPrints as the software for the KAPTUR project

Technical Analysis of Organic Rankine Cycle System Using Low-Temperature Source to Generate Electricity in Ship

Nowadays, the shipping sector has growth rapidly as followed by the increasing of world population and the demands for public transportation via sea. This issue entails the large attention on emission, energy efficiency and fuel consumption on the ship. Waste Heat Recovery (WHR) is one of the solution to overcome the mentioned issue and one of the WHR method is by installing Organic Rankine Cycle (ORC) system in ship. ORC demonstrate to recover and exploit the low temperature waste heat rejected by the ship power generation plant. The main source of heat to be utilized is obtained from container ship (7900 kW BHP, DWT 10969 mt) ship jacket water cooling system and use R-134a as a refrigerant. The main equipment consists of evaporator, condenser, pump and steam turbine to generate the electricity. The main objective is to quantifying the estimation of electrical power which can be generated at typical loads of the main engine. As the final result of analysis, the ORC system is able to generate the electricity power ranged from 77,5% - 100% of main engine load producing power averagely 57,69 kW

Technical analysis and central bank intervention

This paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1997) to show that technical trading rules can make use of information about U.S. foreign exchange intervention to improve their out-of-sample profitability for two of four exchange rates. Rules tend to take positions contrary to official intervention and are unusually profitable on days prior to intervention, indicating that intervention is intended to check or reverse predictable trends. Intervention seems to be more successful in checking predictable trends in the out-of-sample (1981-1996) period than in the in-sample (1975-1980) period. We conjecture that this instability in the intervention process prevents more consistent improvement in the excess returns to rules. We find that the improvement in performance results solely from more efficient use of the information in the past exchange rate series rather than from information about contemporaneous intervention.Banks and banking, Central ; Foreign exchange

Energy Biased Technical Change: A CGE Analysis

This paper studies energy bias in technical change. For this purpose, we develop a computable general equilibrium model that builds on endogenous growth models. The model explicitly captures links between energy, the rate and direction of technical change, and the economy. We derive the equilibrium determinants of biased technical change and show the importance of feedback in technical change, substitution possibilities between final goods, and general-equilibrium effects for the equilibrium bias. If the feedback effect is strong, or the substitution elasticity large, or both, our model tends to a corner solution in which only technologies are developed that are appropriate for production of non-energy intensive goods.Computable general-equilibrium models, Endogenous technical change, Energy, Environment

Information system for analysis and forecasting of futures markets

We considered different approaches to the analysis and forecasting techniquesof futures markets.We also studied methods of working with the use of technical analysis. Existing software products that allow technical analysis of futures markets are considered. All of them realize powerful indicator and oscillator analysis, they are equipped with fast access to mass media, but they limit this. Other existing methods of technical analysis are not used in them

Technical analysis in the foreign exchange market

This article introduces the subject of technical analysis in the foreign exchange market, with emphasis on its importance for questions of market efficiency. Technicians view their craft, the study of price patterns, as exploiting traders’ psychological regularities. The literature on technical analysis has established that simple technical trading rules on dollar exchange rates provided 15 years of positive, risk-adjusted returns during the 1970s and 80s before those returns were extinguished. More recently, more complex and less studied rules have produced more modest returns for a similar length of time. Conventional explanations that rely on risk adjustment and/or central bank intervention are not plausible justifications for the observed excess returns from following simple technical trading rules. Psychological biases, however, could contribute to the profitability of these rules. We view the observed pattern of excess returns to technical trading rules as being consistent with an adaptive markets view of the world.Foreign exchange rates