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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2407.08036 |
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| _version_ | 1866909250421260288 |
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| author | Katic, Dragoljub Richter, Stefan |
| author_facet | Katic, Dragoljub Richter, Stefan |
| contents | Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive monthly returns of average magnitude of 2% or more. The oscillator is derived from a broader understanding of the geometric behavior of prices throughout a fixed period, which we term financial market geometry. The remarkable profit results of the presented technique show that 1) prices of financial market instruments have a strong underlying deterministic component which can be detected and quantified with a matching approach and 2) financial market geometry is capable of providing such detectors. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_08036 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Financial market geometry: The tube oscillator Katic, Dragoljub Richter, Stefan Trading and Market Microstructure 91-10 Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive monthly returns of average magnitude of 2% or more. The oscillator is derived from a broader understanding of the geometric behavior of prices throughout a fixed period, which we term financial market geometry. The remarkable profit results of the presented technique show that 1) prices of financial market instruments have a strong underlying deterministic component which can be detected and quantified with a matching approach and 2) financial market geometry is capable of providing such detectors. |
| title | Financial market geometry: The tube oscillator |
| topic | Trading and Market Microstructure 91-10 |
| url | https://arxiv.org/abs/2407.08036 |