TITLE

Stochastic volatility model and technical analysis of stock price

AUTHOR(S)
Liu, Wei; Zheng, Wei
PUB. DATE
July 2011
SOURCE
Acta Mathematica Sinica;Jul2011, Vol. 27 Issue 7, p1283
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI, ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-known indicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes' stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.
ACCESSION #
61079816

 

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