The predictability of security returns with simple technical trading rules

@inproceedings{Gencay1997ThePO,
  title={The predictability of security returns with simple technical trading rules},
  author={Ramazan Gencay},
  year={1997}
}
Technical traders base their analysis on the premise that the patterns in market prices are assumed to recur in the future, and thus, these patterns can be used for predictive purposes. This paper uses the daily Dow Jones Industrial Average Index from 1897 to 1988 to examine the linear and nonlinear predictability of stock market returns with simple technical trading rules. The nonlinear specification of returns are modelled by single layer feedforward networks. The results indicate strong… CONTINUE READING
Highly Cited
This paper has 118 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 51 extracted citations

118 Citations

01020'98'02'07'12'17
Citations per Year
Semantic Scholar estimates that this publication has 118 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 16 references

Artificial neural networks: An econometric perspective

  • Kuan, C.-M, H. White
  • Econometric Reviews
  • 1994

Performance measurement methodology and the question of whether stocks overreact

  • N. Chopra, J. Lakonishok, J. R. Ritter
  • Journal of Financial Economics
  • 1992

Speculative dynamics

  • D. M. Cutler, J. M. Poterba, L. H. Summers
  • Review of Economic Studies
  • 1991
1 Excerpt

Evidence of predictable behavior of security returns

  • N. Jegadeesh
  • Journal of Finance
  • 1990
1 Excerpt

Fads, martingales and market efficiency

  • B. N. Lehmann
  • Quarterly Journal of Economics
  • 1990
1 Excerpt

Similar Papers

Loading similar papers…