17231 - Financial Markets Technical Analysis

Learning outcomes

The course develop skills to define trading strategies based on the construction of financial markets probabilized scenario. In particular, the student is able to: analyze the dynamics of financial time series by combining the basic principles of: technical analysis (graphical and quantitative approach) with the basic issues of sentiment analysis. Particular attention is devoted to reconduct the usage of quantitative indices and smoothing tecniques to the classical statistical inferential field, and to translate the obtained results in operational strategies even through the construction oftrading systems

Course contents

The analysis of prices in financial markets:

Technical analysis compared to fundamental analysis and sentiment indicators. The strategies of technical analysis: the role of prices, volumes and frequency of observation. Time frequencies in financial markets: long term vs intraday approaches in the tecnical analysis. The investor psychology (basics), its implications in building trading rules.

Tools for graphical analysis:

Graphic representations and scales. The determination of levels of input and output through supports, resistances, and gap. The graphical analysis with the candlestick. Key figures and graphics usage in the identification of targets and stops. How to identify market stages: reversal and continuation patterns, trend line breaks, gap closure, volumes and volatility.

The quantitative approach to analysis technique

Statistical models for trend: linear interpolation moving averages, exponential smoothing. Models fortrend specification and estimation: least squares and differnt loss function optimization. The role of market trends and volatility in models specification: statistical inference for estimation andhistorical ex post optimization. Connection betweenprediction intervals and critical input and output price levels.

How to detect / avoid false technical signals

How to build operational strategies:

Readings/Bibliography

Testi di riferimento:

M.J. Pring “Technique analysis of financial market”,

chapters 1 to 13 ; 25 to 28.

Teaching methods

Theoretical introduction to the argumentsfollowed by extensive discussions of examples and simulations of real cases (exercises)

Assessment methods

Drafting of operational strategy(written) and oral examination

Teaching tools

Endouts and software package for technical analysis in the lab

Office hours

See the website of Andrea Guizzardi