From April 22nd until 24th, the MFS Spring Conference took place at Cyprus University of Technology in Lemesos. I was invited to present my new findings on timing strategies.
The conference was a great event: well organized, balanced programm, fantastic talks, interesting people, and awesome receiption, dinner as well as tour! Last but not least: Lemesos is a place to be — absolutely worth the travel.
A big THANK YOU to all the people which made that event possible and organized it!
According to the efficient market hypothesis (EFM), technical trading rules should not have prediction power. However, a significant number of academic studies confirm at least slight excess returns. By applying parametric and historical simulation techniques, we show the connection between timing success and statistical properties of the underlying. Therefore, we check the time series data of prior studies with respect to their statistical properties in order to explain their findings. As long as drift, volatility and autocorrelation of a time series are unpredictable, there seems to be no benefit from technical trading rules.