Generalized Technical Analysis. Effects of transaction volume and risk
arXiv:cond-mat/0212641
Abstract
We generalize the momentum indicator idea taking into account the volume of transactions as a multiplicative factor. We compare returns obtained following strategies based on the classical or the generalized technical analysis, taking into account a sort of risk investor criterion.
8 pages, 7 figures; to appear in the Proceedings of the Second Nikkei Symposium: Toward control of Economic Change -- Application of Econophysics, Nov 12-14, 2002, Tokyo, Japan