The predictability of security returns with simple technical trading rules

  title={The predictability of security returns with simple technical trading rules},
  author={Ramazan Gencay},
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
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