Journal of East China Normal University(Natural Sc ›› 2008, Vol. 2008 ›› Issue (1): 44-50,1.

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Properties of the Corresponding Statistics of the Technical Analysis Indexes on SARV Model(English)

HUANG Xu-dong1,2, ZHANG Qiong2, LIU Wei1   

  1. 1. Department of Statistics, East China Normal University, Shanghai 200062, China; 2. College of Mathematics and Computer Science, Anhui Normal University, Wuhu Anhui 241000, China;
  • Received:2007-03-05 Revised:2007-04-16 Online:2008-01-25 Published:2008-01-25
  • Contact: HUANG Xu-dong

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Abstract: In the stock market, Some popular technical analysis indexes ( e.g.
Bollinger bands, RSI, ROC $\cdots$ ) are widely used by traders. It
is 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 .

Key words: Bollinger bands, stationary process, Strong mixing, SARV model, Bollinger bands, stationary process, Strong mixing

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