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HUANG Xu-dong, ZHANG Qiong, LIU Wei. Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (1): 44-50,1.
Citation:
HUANG Xu-dong, ZHANG Qiong, LIU Wei. Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (1): 44-50,1.
HUANG Xu-dong, ZHANG Qiong, LIU Wei. Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (1): 44-50,1.
Citation:
HUANG Xu-dong, ZHANG Qiong, LIU Wei. Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)[J]. Journal of East China Normal University (Natural Sciences), 2008, (1): 44-50,1.
In the stock market, Some popular technical analysis indexes ( e.g.Bollinger bands, RSI, ROC $\cdots$ ) are widely used by traders. Itis well known that discrete-time model was typically used in empirical financial literature. This paper investigates the probabilistic properties of the corresponding statistics of the technical analysis indexes Bollinger bands, RSI and ROC for stochastic autoregressive volatility (SARV) model as real stock market. Under the given onditions, the stationarity and the law of large number of these statistics are proved .
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