Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

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dc.creatorFliess, Michel
dc.creatorJoin, Cédric
dc.date2008-11-10
dc.date2008-11-16
dc.date.accessioned2026-07-07T12:54:39Z
dc.date.available2026-07-07T12:54:39Z
dc.descriptionNew fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting, i.e., via repeated identifications of low order linear difference equations on sliding short time windows. Several convincing computer simulations, including the prediction of the position and of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential algebra are the main mathematical tools.
dc.identifierhttps://arxiv.org/abs/0811.1561
dc.identifierhttp://arxiv.org/abs/0811.1561
dc.identifierIAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis) (2008)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/224009
dc.subjectApplications
dc.subjectCommutative Algebra
dc.subjectOptimization and Control
dc.subjectStatistics Theory
dc.subjectComputational Finance
dc.subjectTrading and Market Microstructure
dc.titleTime Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
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