Technical trading revisited: False discoveries, persistence tests, and transaction costs

By Bajgrowicz Pierre and Scaillet Olivier
Journal of Financial Economics (2012)

  • Olivier Scaillet

    University of Geneva and Swiss Finance Institute

    Switzerland

  • Pierre Bajgrowicz

    University of Geneva

    Switzerland

Created

September 13, 2017

Last update

September 13, 2017

Software

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Folder main contains programs used for the core of the paper. Folder montecarlo contains programs used for MC simulations of the appendix. See Readme.txt files in the folders and subfolders for further explanations. Matlab programs written with Matlab 2008. C++ code written using Microsoft Visual Studio.

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