Show simple item record

dc.contributor.advisorCrack, Timothy
dc.contributor.authorTurei Stanton, Worik Macky
dc.date.available2013-10-22T19:38:02Z
dc.date.copyright2013
dc.identifier.citationTurei Stanton, W. M. (2013). Is Data Snooping responsible for Technical Analysis Rules Success? (Thesis, Master of Commerce). University of Otago. Retrieved from http://hdl.handle.net/10523/4346en
dc.identifier.urihttp://hdl.handle.net/10523/4346
dc.description.abstractData Snooping is often suspected when effective technical analysis rules are found or presented. It is difficult to tell if a result is due to data snooping, so evaluating technical analysis rules often boils down to detecting data snooping and if it has invalidated the results. Herein we look at several algorithms designed to increase (risk–adjusted) returns for investors, and several techniques for detecting or compensating for data snooping. We find no easy answer to detecting data snooping. Many of the methods we look at are useful, but there is no known way to get around sparse data and the unrepeatable nature of investment decisions. We conclude that data snooping bias is a persistent risk and it is unlikely that there is any effective single solution to the problem. The best that we can do is be aware of the risk of data snooping and to report how we have dealt with the risk as part of our analysis.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectdata snooping
dc.subjectdata mining
dc.subjecttechnical analysis
dc.titleIs Data Snooping responsible for Technical Analysis Rules Success?
dc.typeThesis
dc.date.updated2013-10-22T03:07:43Z
dc.language.rfc3066en
thesis.degree.disciplineFinance and Quantitive Analysis
thesis.degree.nameMaster of Commerce
thesis.degree.grantorUniversity of Otago
thesis.degree.levelMasters
otago.openaccessOpen
 Find in your library

Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record