We propose a generalized version of the moving average converge divergence (MACD) indicator widely employed in the technical analysis and trading of financial markets. By assuming a martingale model with drift for prices, as well as for their transformed values, we propose a test statistic for the local drift and derive its main theoretical properties. The semi-strong market efficiency hypothesis is assessed through a bootstrap test. We conclude by applying the indicator to monitor the crude oil prices over a 6 years period.
A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency / Alessandro Cardinali. - ELETTRONICO. - (2018), pp. 0-0. (Intervento presentato al convegno MAF 2018).
A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency
Alessandro Cardinali
Methodology
2018
Abstract
We propose a generalized version of the moving average converge divergence (MACD) indicator widely employed in the technical analysis and trading of financial markets. By assuming a martingale model with drift for prices, as well as for their transformed values, we propose a test statistic for the local drift and derive its main theoretical properties. The semi-strong market efficiency hypothesis is assessed through a bootstrap test. We conclude by applying the indicator to monitor the crude oil prices over a 6 years period.
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