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RE: Re: st: RE: RE: Bootstrap and Technical analysis


From   Mahmoud Abd-El-Aal <ma7205@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: Re: st: RE: RE: Bootstrap and Technical analysis
Date   Tue, 19 Aug 2008 12:43:41 +0100 (BST)

Hey
First of all, thanks nick for your kind words and i definitely have all
your FAQ section in memory now for future use. I hope we did not get off
to a wrong start on the list as i definitely value comments about my work
from people with experience such as yourself.

Turning to the test, i am just trying to see how many of the bootstraped
samples mean of a certain variable is larger than the mean of another
variable, and therefore i need to know from the tests that i presented
earlier is it larger or smaller since we reject the null hypotheses:
var2-var1=0; Tony, i am assuming they are paired because variable 2
depends on componenets from variable 1

 the variables are the log returns of closing prices (var1) and the moving
average rules of this return series (var2), I know there is
autocorrelation in them, but that is why am using just two forms of
processes that could take into account some of this, random walk with a
drift and the AR (1) process........

The point is all this has been done before in an academic paper, i tried
sending to the authors but no reply......i am totally aware of the
problems accompanying this kind of tests but there must be a way around it
somehow.

Thank you for reading
Mo

-- 
Mahmoud Abd El Aal
MSc. F&I
UOB


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