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...

One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...

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....

In this work a modification of the Box-Tiao methodology for the assessment of the impact of external events on time series is proposed as an alternative statistical approach of assessing the predictive performance of the moving average trading rule in financial markets. With the proposed...

An alternative definition for market efficiency, based on statistical rather than financial arguments is suggested, which, though equivalent with the existing one, has some comparative advantages. Further, the implications that results from some statistical tests on return predictability may...

The examination for the possible existence of predictive power in the moving average trading rule has been used extensively to test the hypothesis of weak form market efficiency in capital markets. This work focuses mainly on the study of the variation of the moving average (MA) trading rule...

The main purpose of this work is to decompose the predictive performance of the moving average (MA) trading rule and find out the portion that could be attributed to the possible exploitation of linear and non-linear dependencies in stock returns. Data from the General Index of the Athens Stock...

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...

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...