The arc sine law and the treasury bill futures market

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual decisions. The long periods of failure make it very likely that such application will eventually blow them out of the market.

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Year of publication:	1980-11
Authors:	Dale, Charles ; Workman, Rosemarie
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Trading rules \| Futures markets \| Treasury bills

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Financial Analysts Journal No. 6.36(1980): pp. 71-74
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011108173