Examinando por Materia "Data snooping"

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    Ítem
    ¿Realidad o sofisma? poniendo a prueba el análisis técnico en las acciones colombianas
    (Universidad EAFIT, 2007) Uribe Estrada, Jorge Hernán; Agudelo Rueda, Diego Alonso
    As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and 8 Japanese candlesticks), in 19 Colombian stocks -- Unlike other research, this study applied tests on investment strategies rather than on autocorrelations, “out-of-sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping -- In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant
  • No hay miniatura disponible
    Ítem
    Realidad o Sofisma? Poniendo a Prueba el análisis técnico en las acciones colombianas
    (Universidad Pontificia Javeriana, 2009) Agudelo Rueda, Diego Alonso; Uribe Estrada, Jorge Hernán; Unicersidad EAFIT; DUAL SAS, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
  • No hay miniatura disponible
    Ítem
    ¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas
    (Universidad EAFIT, 2009-06-06) Agudelo, Diego Alonso; Uribe, Jorge Hernán
    As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. Unlike other investigations, this study applied “outof- sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping. In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant.