References
- Allen , F and Karjalainen , R . 1999 . Using genetic algorithms to find technical trading rules . Journal of Financial Economics , 51 : 245 – 71 .
- Allen , H and Taylor , MP . 1990 . Charts, noise and fundamentals in the London foreign exchange market . The Economic Journal , 100 : 49 – 59 .
- Anatolyev , S and Vasnev , A . 2002 . Markov chain approximation in bootstrapping autoregressions . Economics Bulletin , 3 : 1 – 8 .
- Anderberg , MR . 1973 . Cluster Analysis for Applications , New York, , NY, USA : Academic Press .
- Antoniewicz , RL . 1992 . “ A causal relationship between stock returns and volume ” . In Finance and Economics Discussion Series No. 208 , Washington, , DC, USA : Federal Reserve Board .
- Arabie , P . 1991 . Was Euclid an unnecessarily sophisticated psychologist? . Psychometrika , 56 : 567 – 87 .
- Berry , MA , Burmeister , E and McElroy , MB . 1988 . Sorting out risks using known APT factors . Financial Analysts Journal , 44 : 29 – 42 .
- Bhar , R and Malliaris , AG . 1998 . Volume and volatility in foreign currency futures markets . Review of Quantitative Finance and Accounting , 10 : 285 – 302 .
- Blume , L , Easley , D and O’Hara , M . 1994 . Market statistics and technical analysis: the role of volume . The Journal of Finance , 49 : 153 – 81 .
- Breen , W , Glosten , LR and Jagannathan , R . 1989 . Economic significance of predictable variations in stock index returns . The Journal of Finance , 44 : 1177 – 89 .
- Brock , W , Lakonishok , J and LeBaron , B . 1992 . Simple technical trading rules and the stochastic properties of stock returns . The Journal of Finance , 47 : 1731 – 64 .
- Brown , SJ and Goetzmann , WN . 1997 . Mutual fund styles . Journal of Financial Economics , 43 : 373 – 99 .
- Chen , N-F , Roll , R and Ross , SA . 1986 . Economic forces and the stock market . Journal of Business , 59 : 383 – 403 .
- Conrad , JS , Hameed , A and Niden , C . 1994 . Volume and autocovariances in short-horizon individual security returns . The Journal of Finance , 49 : 1305 – 29 .
- Cooper , M . 1999 . Filter rules based on price and volume in individual security overreaction . The Review of Financial Studies , 12 : 901 – 35 .
- Cumby , RE and Modest , DM . 1987 . Testing for market timing ability: a framework for forecast evaluation . Journal of Financial Economics , 19 : 169 – 89 .
- Dudoit , S and Fridlyand , J . 2002 . A prediction-based resampling method for estimating the number of clusters in a dataset . Genome Biology , 3 : 1 – 21 .
- Everitt , BS . 1993 . Cluster Analysis , London, , UK : John Wiley and Sons .
- Fama , EF and Blume , ME . 1966 . Filter rules and stock-market trading . Journal of Business , 39 : 226 – 41 .
- Fowlkes , EB and Mallows , CL . 1983 . A method for comparing two hierarchical clusterings . Journal of the American Statistical Association , 78 : 553 – 69 .
- Fung , W and Hsieh , DA . 1997 . Empirical characteristics of dynamic trading strategies: the case of hedge funds . The Review of Financial Studies , 10 : 275 – 302 .
- Gower , JC and Legendre , P . 1986 . Metric and Euclidean properties of dissimilarity coefficients . Journal of Classification , 3 : 5 – 48 .
- Grundy , BD and McNichols , M . 1989 . Trade and the revelation of information through prices and direct disclosure . The Review of Financial Studies , 2 : 495 – 526 .
- Hartigan , JA . 1975 . Clustering Algorithms , New York, , NY, USA : John Wiley and Sons .
- Henriksson , RD . 1984 . Market timing and mutual fund performance: an empirical investigation . Journal of Business , 57 : 73 – 96 .
- Henriksson , RD and Merton , RC . 1981 . On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills . Journal of Business , 54 : 513 – 33 .
- Hiemstra , C and Jones , JD . 1994 . Testing for linear and nonlinear Granger causality in the stock price-volume relation . The Journal of Finance , 49 : 1639 – 64 .
- Jain , PC and Joh , G-H . 1988 . The dependence between hourly prices and trading volume . The Journal of Financial and Quantitative Analysis , 23 : 269 – 83 .
- Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications for stock market efficiency . The Journal of Finance , 48 : 65 – 91 .
- Jegadeesh , N and Titman , S . 2001 . Profitability of momentum strategies: an evaluation of alternative explanations . The Journal of Finance , 56 : 699 – 720 .
- Jensen , MC and Benington , GA . 1970 . Random walks and technical theories: some additional evidence . The Journal of Finance , 25 : 469 – 82 .
- Karpoff , JM . 1986 . A theory of trading volume . The Journal of Finance , 41 : 1069 – 87 .
- Karpoff , JM . 1987 . The relation between price changes and trading volume: a survey . The Journal of Financial and Quantitative Analysis , 22 : 109 – 26 .
- Lange , T , Roth , V , Braun , ML and Buhmann , JM . 2004 . Stability-based validation of clustering solutions . Neural Computation , 16 : 1299 – 323 .
- Lehmann , BN and Modest , DM . 1988 . The empirical foundations of the arbitrage pricing theory . Journal of Financial Economics , 21 : 213 – 54 .
- Levich , RM and Thomas , LR . 1993 . The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach . Journal of International Money and Finance , 12 : 451 – 74 .
- Lipinski , P . 2005 . Clustering of large number of stock market trading rules . Neural Network World , 4 : 351 – 57 .
- Lo , A , Mamaysky , H and Wang , J . 2004 . Asset prices and trading volume under fixed transactions costs . Journal of Political Economy , 112 : 1054 – 90 .
- Lo , AW , Mamaysky , H and Wang , J . 2000 . Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation . The Journal of Finance , 55 : 1705 – 65 .
- Lo , A and Wang , J . 2000 . Trading volume: definitions, data analysis, and implications of portfolio theory . The Review of Financial Studies , 13 : 257 – 300 .
- MacQueen , JB . 1967 . “ Some Methods for Classification and Analysis of Multivariate Observations ” . In Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability , Edited by: LeCam , LM and Neyman , J . 281 – 97 . Berkeley, CA, , USA : University of California Press .
- Malliaris , AG and Urrutia , JL . 1998 . Volume and price relationships: hypotheses and testing for agricultural futures . The Journal of Futures Markets , 18 : 53 – 72 .
- Menkhoff , L and Taylor , MP . 2007 . The obstinate passion of foreign exchange professionals: technical analysis . Journal of Economic Literature , 45 : 936 – 72 .
- Merton , RC . 1981 . On market timing and investment performance I. An equilibrium theory of value for market forecasts . Journal of Business , 54 : 363 – 406 .
- Monti , S , Tamayo , P , Mesirov , J and Golub , T . 2003 . Consensus clustering: a resampling-based method for class discovery and visualization of gene expression microarray data . Machine Learning , 52 : 91 – 118 .
- Neftci , SN . 1991 . Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory: a study of ‘technical analysis’ . Journal of Business , 64 : 549 – 71 .
- Park , C-H and Irwin , SH . 2004 . “ The profitability of technical analysis: a review ” . In AgMAS Project Research Reports 2004–04 , Urbana and Champaign, , IL, USA : University of Illinois at Urbana-Campaign .
- Park , C-H and Irwin , SH . 2007 . What do we know about the profitability of technical analysis? . Journal of Economic Surveys , 21 : 786 – 826 .
- Pelizzari , C . 2004 . Classifying trading rules according to their market timing style PhD Thesis, Università degli Studi di Brescia
- Sharpe , WF . 1992 . Asset allocation: management style and performance measurement . The Journal of Portfolio Management , Winter : 7 – 19 .
- Späth , H . 1980 . Cluster Analysis Algorithms for Data Reduction and Classification of Objects , New York, , NY, USA : Ellis Horwood Publishers .
- Sullivan , R , Timmermann , A and White , H . 1999 . Data-snooping, technical trading rule performance, and the bootstrap . The Journal of Finance , 54 : 1647 – 91 .
- Sweeney , RJ . 1988 . Some new filter rule tests: methods and results . Journal of Financial and Quantitative Analysis , 23 : 285 – 300 .
- Taylor , MP and Allen , H . 1992 . The use of technical analysis in the foreign exchange market . Journal of International Money and Finance , 11 : 304 – 14 .
- Treynor , JL and Mazuy , K . 1966 . Can mutual funds outguess the market? . Harvard Business Review , 44 : 131 – 36 .