TRB技术分析规则在期货市场的有效性检验被引量：8

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摘要本文以大连大豆期货为标的物,采用TRB(Trading Range Break,交易区间突破)技术分析规则为主要研究方法,实证检验了其在期货市场投资中的获利能力。在我们选定的策略中,中线获利能力最强,即使考虑交易成本后仍不能消除这种超额收益。同时Bootstrap模拟检验的结果也显示,这种获利能力不能通过其他一些收益率序列得到解释。

作者邢天才蒋晓杰武军伟

机构地区东北财经大学应用金融研究中心东北财经大学经济与社会发展研究院

出处《财经问题研究》 CSSCI 北大核心 2008年第6期54-59,共6页 Research On Financial and Economic Issues

关键词技术分析阻力支撑 BOOTSTRAP

分类号 F830.9 [经济管理—金融学]

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参考文献8

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