On several occasions technical analysis rules have been shown to have predictive power. The main purpose of this work is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed to the possible exploitation of linear and non linear...

The purpose of this paper is to examine: (i) whether or not, the residuals of the Market Model are conditionally heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the Market Model; (iii) the effect of conditional...

This work focuses on the sensitivity of the performance of the moving average (MA) trading rule of technical analysis to changes in the MA length employed. Empirical analysis of daily data from NYSE, the Vienna Stock Exchange (VSE) and the Athens Stock Exchange (ASE) reveal high variability of...