Statistical Inference and Modelling of Momentum in Stock Prices

@article{Caginalp1995StatisticalIA,
  title={Statistical Inference and Modelling of Momentum in Stock Prices},
  author={Gunduz Caginalp and Gregory M. Constantine},
  journal={Behavioral \& Experimental Finance},
  year={1995}
}
The following results are obtained, (i) It is possible to obtain a time series of market data {y(t)} in which the fluctuations in fundamental value have been compensated for. An objective test of the efficient market hypothesis (EMH), which would predict random correlations about a constant value, is thereby possible, (ii) A time series procedure can be used to determine the extent to which the differences in the data and the moving averages are significant. This provides a model of the form y… 

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