Survey on Log-Normally Distributed Market-Technical Trend Data

Risks

Stanislaus Maier-Paape¹  René Brenner¹ 

[1] Institut für Mathematik, RWTH Aachen, Templergraben 55, D-52062 Aachen, Germany;

关键词: log-normal;    market-technical trend;    MinMax-process;    trend statistics;    market analysis;    empirical distribution;   

DOI  :  10.3390/risks4030020

来源: DOAJ

【 摘 要 】

In this survey, a short introduction of the recent discovery of log-normally-distributed market-technical trend data will be given. The results of the statistical evaluation of typical market-technical trend variables will be presented. It will be shown that the log-normal assumption fits better to empirical trend data than to daily returns of stock prices. This enables one to mathematically evaluate trading systems depending on such variables. In this manner, a basic approach to an anti-cyclic trading system will be given as an example.

【 授权许可】

Unknown