[Forum SIS] Seminario Yarema Okhrin all'Università di Bergamo

[Alessandro Fasso']

*Relatore:* Prof. Yarema Okhrin, Chair of Statistics, University of Augsburg
*Titolo:* "Revealing technical trading rules with the empirical similarity
concept".
*Data:* 13 giugno, ore 11.00
*Luogo:* Dipartimento di ingegnera gestionale, dell'informazione e della
produzione, Dalmine BG, viale Marconi 5, Edificio B, aula B02.
https://www.unibg.it/servizi/luoghi/nostre-sedi/dalmine
*Informazioni:* alessandro.fasso a unibg.it

*Abstract*: Economists frequently suggest formal mathematical models or
theories that postulate a formal decision rule. These rules can be
subsequently calibrated and validated using empirical data. When there is
no suitable rule at hand, economic agents may rely on so-called case-based
inference, which grounds on analyzing cases by drawing analogies between
experienced situations and their outcomes and their analogy to the present
problem. The empirical similarity concept puts the case-based decision
theory into an econometric framework, by predicting the variable of
interest by a sum of historical outcomes weighted by the distances between
the current levels of covariates and their historical counterparts. In this
paper, we formalize the tools of technical analysis aimed to forecast asset
prices and returns. In contrary to mostly heuristic definition of patterns
in technical analysis we rely on B-spline regularization to define and
classify the patterns. This technique can be also seen as a decomposition
of asset prices and a parametric quantification of patterns typical in
technical analysis. The empirical application shows that the obtained
patters deviate from the patterns commonly assumed in practice. Thereafter
we apply empirical similarity to compare the historical patters with the
current one and to build a forecast for the future price/return dynamics.
We compare the approach to common benchmarks.


-- 
________________________________________
Alessandro Fassò
President of the International Environmetrics Society
Professor of Statistics
University of Bergamo
Viale Marconi 5,   24044 Dalmine BG I,   Italy

*Office*:  tel.  +39 035 2052 323,   fax. +39 035 2052 310
*Personal* *fax*. +39 035 7423 1165
Cell.  +39 338 8026 616
email: alessandro.fasso a unibg.it,
*Skype*: alessandro.fasso,
homepage https://bit.ly/2uOjmOk.

*Orcid **0000-0001-5132-9488*
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