Trading indicators with information-gap uncertainty

Journal of Risk Finance

Volumn 9, Issue 5, 2008, Pages 467-476

  Thompson, Colin J ^a   Guttmann, Anthony J ^b   Thompson, Ben J P ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b Tabcoarp Holdings Limited   (Australia)

Author keywords

Financial modelling; Information; Uncertainty management

Indexed keywords

EID: 85015613452     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265940810916120     Document Type: Article

References (8)

1. Bauer, R.J. Jr (1994), Genetic Algorithms and Investment Strategies, Wiley, New York, NY.
2. Ben-Haim, Y. (2005), “Value-at-risk with info-gap uncertainty”, Journal of Risk Finance, Vol. 6 No. 5, pp. 388-403.
3. Ben-Haim, Y. (2006), Information-Gap Decision Theory Decisions Under Severe Uncertainty, 2nd ed., Academic Press, San Diego, CA.
4. Beresford-Smith, B. and Thompson, C.J. (2007), “Managing credit risk with info-gap uncertainty”, Journal of Risk Finance, Vol. 8 No. 1, pp. 24-34.
5. Knight, F.H. (1971), Risk Uncertainty and Profit, Haughton Mifflin Co, Chicago, IL (re-issued by the University of Chicago Press, Chicago, IL).
6. Murphy, J.J. (1986), Technical Analysis of Futures Markets, Prentice-Hall, New York, NY.
7. Peters, E.E. (1991), Chaos and Order in Capital Markets, Wiley, New York, NY.
8. Peters, E.E. (1994), Fractal Market Analysis, Wiley, New York, NY.