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| Author: | Gencay, R. |
| Title: | The predictability of security returns with simple technical trading rules |
| Journal: | Journal of Empirical Finance
1998 : OCT, VOL. 5:4, p. 347-359 |
| Index terms: | Stock markets Securities Markets Efficiency |
| Freeterms: | Feedforward networks Technical trading rules |
| Language: | eng |
| Abstract: | 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 non-linear predictability of stock market returns with simple technical trading rules. The non-linear specification of returns are modelled by single-layer feed-forward networks. The results indicate strong evidence of non-linear predictability in the stock market returns by using the past buy and sell signals of the moving average rules. |
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