This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...

A linear return generating model is introduced. This model is a generalization in discrete time of the differential equation describing dynamical systems in continuous time. The model is useful in its own right, as it provides a simplified, yet credible, quantitative description of the reality....

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...

An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application...