Forecasting the equity risk premium: The role of technical indicators

Ministry of Education, Singapore under its Academic Research Funding Tier

A Non-Random Walk down Canary Wharf

In this paper I perform a panel data analysis to evaluate whether �- nancial technical indicators are able to predict stock market returns. By using a panel of 40 stocks taken from the Financial Times Stock Exchange (FTSE) observed in 2004, I test the ability of 75 amongst the most famous technical indicators used by traders to predict next-day returns. Surpris- ingly, results are robust in demonstrating that many of these are good predictors, supporting the validity of the technical analysis.technical analysis, random walk hypothesis, econometrics finance

Aspects of Technical Progress in Romanian Agriculture Compared to Some EU Countries

The importance of using technical progress factors in agriculture varies from one country to another and the influences of these factors on yields and agricultural production are essential. Thus, in this paper we considered necessary and appropriate to achieve the dynamic analysis of the main factors of technical progress in agriculture referring to agricultural technical endowment, fertilizers and irrigation. On the other hand, we accomplished the dynamic analysis of the outcome indicators in agricultural production in Romania compared to some EU countries, as well as the gaps registered between countries under study. We also point out the positive and negative effects of technical progress in agriculture which had developed under the revealed indicators evolution.technical progress, irrigation, mechanization, soil fertilization, economic effects, ecological effect.

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Technical analysis, also known as "charting", has been a part of financial practice for many decades, yet little academic research has been devoted to a systematic evaluation of this discipline. One of the main obstacles is the highly subjective nature of technical analysis---the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of US stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution---conditioned on specific technical indicators such as head-and-shoulders or double-bottoms---we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.

Volumes of Evidence - Examining Technical Change Last Century Through a New Lens

Although technical change is central in much of modern economics, traditional measures of it are, for a number of reasons, flawed. We discuss in this paper new indicators based on data drawn from the MARC records of the Library of Congress on the number of new technology titles in various fields published in the United States over the course of the last century. These indicators, we argue, overcome many of the shortcomings associated with patents, research and development expenditures, innovation counts, and productivity figures. We find, among other things, the following: the pattern and nature of technical change described by our indicators is, on the whole, consistent with that of other measures; they represent innovation not diffusion; a strong causal relationship between our indicators and changes in TFP and output per capita; innovations in some sub-groups have had a greater impact on output and productivity than others and, moreover, the key players have changed over time. Our indicators can be used to shed light on number of important issues including the empirical relationship between technology shocks and employment, the role of technology in cross-country productivity differences, and the part played by technological change in growing skills premia in the U.S. during the last few decades.Business Cycles, Technical change, productivity, measurement

Towards New Technical Indicators for Trading Systems and Risk Management

We derive two new technical indicators for trading systems and risk management. They stem from trends in time series, the existence of which has been recently mathematically demonstrated by the same authors (A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009), and from higher order quantities which replace the familiar statistical tools. Recent fast estimation techniques of algebraic flavor are utilized. The first indicator tells us if the future price will be above or below the forecasted trendline. The second one predicts abrupt changes. Several promising numerical experiments are detailed and commented.Quantitative Finance, technical analysis, trading systems, risk management, trends, technical indicators, time series

STRATEGI PERDAGANGAN SAHAM DENGAN ANALISIS TEKNIS : PENGUJIAN PROFITABILITAS SINYAL SEBELUM TANGGAL PUBLIKASI LABA

The main purpose of this research is try to examine the profitability of technical analysis that arise before earnings announcements date. Using data from publication date in 2005,2006,2007 and 2008, this research show the evidence that those indicators can anticipate information that will be published in the announcements. All of the indicators, RSI(10)- SMA(10), SMA(10), and dual SMA(10,20), produce profit using data before announcements. It means that investors/stock traders can use this indicators as a trading strategy. Another results, this research finds a tendency that there is information leakage on earnings announcements

Key performance indicators for the National Bowel Cancer Screening Program: technical report

Provides a summary of the development process and the technical specification for the 11 agreed performance indicators that are part of the National Bowel Cancer Screening Program Performance Indicator Set. Summary Cancer contributes significantly to the burden of illness in the Australian community. Bowel cancer is one of the most significant cancer types in terms of incidence and mortality. In 2010, 14,860 people were diagnosed with bowel cancer and in 2011 there were 3,999 deaths from the disease. Screening for bowel cancer is available in Australia through the National Bowel Cancer Screening Program (NBCSP), which aims to reduce the incidence, illness and mortality related to bowel cancer through screening to detect cancers and pre-cancerous lesions in their early stages, when treatment is most successful. Reporting statistics about the NBCSP in a standardised way is vital to ensure that governments, researchers and health workers have access to relevant and reliable statistics about the performance of the program over time. This report describes the National Bowel Cancer Screening Program Performance Indicator Set (NBCSP PIs) and is a reference tool for anyone who wishes to understand, measure and report the progress of bowel cancer screening in Australia. The indicators were developed by the National Bowel Cancer Screening Program Report and Indicator Working Group (the working group) and have been endorsed by the Standing Committee on Screening, the Community Care and Population Health Principal Committee, the National Health Information Standards and Statistics Committee and the National Health Information and Performance Principal Committee. The indicators are consistent with the five Australian Population Based Screening Framework (PBSF) steps of recruitment, screening, assessment, diagnosis and outcomes

Public services: are composite measures a robust reflection of performance in the public sector?

A composite indicator is an aggregated index comprising individual performance indicators. Composite indicators integrate a large amount of information in a format that is easily understood and are therefore a valuable tool for conveying a summary assessment of performance in priority areas. This research investigates the degree to which composite measures are an appropriate metric for evaluating performance in the public sector. Do they reflect accurately the performance of organisations? To what degree are they influenced by the uncertainty surrounding underlying indicators on which they are based? Are they robust and stable over time? The construction of composite measures creates specific methodological challenges that make such questions especially pertinent. We address these through a series of quantitative analyses of panel data relating to healthcare (Star ratings of NHS acute Trusts) and local government (Comprehensive Performance Assessment (CPA) ratings of authorities) in England where composites have been widely used. The creation of a composite comprises a number of important steps, each of which requires careful judgement. These include the specification of the choice of indicators, the transformation of measured performance on individual indicators, the specification of a set of weights on individual indicators, and combining the indicators using aggregation methods or decision rules. We use Monte Carlo simulations to examine the robustness of performance judgements to these different technical choices. We show the extent to which composites provide stable performance rankings of organisations over time and assess whether variations are due to genuine performance improvement or merely the result of random statistical variation. The analysis suggests that the judgements that have to be made in the construction of the composite can have a significant impact on the resulting score. Technical and analytical issues in the design of composite indicators have important policy implications. We highlight the issues which need to be considered in the construction of robust composite indicators so that they can be designed in ways which will minimise the potential for producing misleading performance information which may fail to deliver the expected improvements or even induce unwanted side-effects.performance measurement, performance indicators, composite indicators