have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

automate the identification of technical patterns a k nearest neighbour model approach to explore profitable patterns in historical stock prices ordinarily a promising pattern is selected by rule of thumb and then its performance is verified by comparing the conditional return of t

intraday technical trading in the foreign exchange market this paper examines the out of sample performance of intraday technical trading strategies selected using two methodologies a genetic program and an optimized linear forecasting model when realistic transaction costs and trading hours are taken into account we find no evidence of excess returns to the trading rules derived with either methodology thus our results are consistent with market efficiency we do however find that the trading rules discover some remarkably stable patterns in the data

price reversals bid ask spreads and market efficiency we examine the behavior of common stock prices after a large change in price occurs during a single trading day and find evidence that the stock market appears to have overreacted especially in the case of price declines however the magnitude of the overreaction is small compared to the bid ask spreads observed for the individual stocks in the sample we interpret this finding as being consistent with a market that is efficient after transactions costs are considered

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

are there exploitable inefficiencies in the futures market for oil if the crude oil futures market is not efficient in the fama sense profitable trading opportunities may exist this paper uses an artificial neural network model with moving average crossover inputs to predict price in the crude oil futures market the predictions of price are used to construct buy and sell signals for traders compared to those of benchmark models cumulative returns year to year returns returns over a market cycle and sharpe ratios all favor the ann model by a large factor the significant profitability of the ann model casts doubt on the efficiency of the oil futures market

a market microstructure explanation for predictable variations in stock returns following large price changes prior empirical evidence of predictable variations in stock returns following large price changes is found to be at least in part driven by the sample selection bias arising from the systematic movement of closing transaction prices within the bid ask spread by using the average of the bid ask prices in the sample selection process the price reversal on the day following the events day 1 disappears for a short run period after day 1 however systematic abnormal return patterns are still observed these short run price reversals persist even after controlling for the influence of systematic trading patterns around the events however investigation of contrarian investment profits from these short run price reversals shows that the average abnormal returns are not large enough to cover the transaction price movement between the bid and ask prices

performance of technical analysis in growth and small cap segments of the us equity market abstract a large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995 2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant profits for a number of portfolios when the transaction cost is assumed to be of small to moderate size technical analysis is not able to outperform the buy and hold approach for any portfolio in the set in the second half of the sample period the finding that the short term return predictability becomes much weaker in the more recent period suggests that the underlying segments of the equity market have become more efficient over time the fact that mechanical trading strategies have been futile after adjusting for data snooping bias for two samples of portfolios where technical analysis is most anticipated to succeed suggests that it is unlikely to have delivered abnormal returns in any other segment of the domestic equity market in the last decade

time varying risk premia volatility and technical trading rule profits evidence from foreign currency futures markets abstract this paper re examines the efficiency of foreign currency futures markets by evaluating the role of time varying risk premia and volatility in explaining technical trading rule profits the results show that large parts of the technical rule profits can be explained by the time varying risk premia estimated from a general model for the conditional capm the bootstrap distributions for the profits under the null model average one third to one half of the actual profits and enclose the actual profits well within the 90 confidence intervals time varying conditional volatility explains an additional 10 of the profits

do momentum based strategies still work in foreign currency markets this paper examines the performance of momentum trading strategies in foreign exchange markets we find the well documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis finally we show that the performance is not due to a time varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns in sum the results lend further support to prior momentum studies on equities the profitability to momentum based strategies holds for currencies as well

some relations between volatility and serial correlations in stock market returns this article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies it is found that serial correlations are changing over time and are related to stock return volatility an extension to the garch model is proposed and estimated revealing parameters consistent with other findings in this article copyright 1992 by university of chicago press

optimal portfolio selection in a value at risk framework abstract in this paper we develop a portfolio selection model which allocates financial assets by maximising expected return subject to the constraint that the expected maximum loss should meet the value at risk limits set by the risk manager similar to the mean variance approach a performance index like the sharpe index is constructed furthermore when expected returns are assumed to be normally distributed we show that the model provides almost identical results to the mean variance approach we provide an empirical analysis using two risky assets us stocks and bonds the results highlight the influence of both non normal characteristics of the expected return distribution and the length of investment time horizon on the optimal portfolio selection

performance of moving average trading strategies over varying stock market conditions the finnish evidence this article examines the profitability of dual moving average crossover dmac trading strategies in the finnish stock market over the period 1996 to 2012 it contributes to the existing technical analysis literature by comparing for the first time the performance of dmac trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks the results show that their relative performance varies over time whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios moreover the great majority of 3020 dmac strategies examined in this article outperform the corresponding buy and hold b and h strategy for both trading targets i e omx helsinki 25 index and individual stocks included in the index in out of sample tests in addition the decomposition of the full sample period performance into separate bull and bear period performance shows clearly that th

on the efficiency of the european carbon market new evidence from phase ii i examine in the period 2008 2011 the efficiency of four carbon dioxide co2 emission allowance futures traded in the intercontinental exchange ice to this end i assess the profitability of trading strategies based on simple technical analysis rules and naive forecasts the results from 2010 onwards are consistent with weak market efficiency in turn this finding suggests that the european carbon market is gradually attaining a state of maturity

an adaptive robust portfolio optimization model with loss constraints based on data driven polyhedral uncertainty sets abstract robust portfolio optimization models widely presented in the financial literature usually assume that asset returns lie in a parametric uncertainty set with a controlled level of conservatism expressed in terms of the variability of the uncertain parameters in practice however it is not clear how investors should choose the conservatism parameter to reflect their own preferences while considering price dynamics in this paper we provide a new perspective on robust portfolio optimization where we impose an intuitive loss constraint for the optimal portfolio considering asset returns in a data driven polyhedral uncertainty set adaptively updated in a rolling horizon scheme the proposed model captures price dynamics absorbing new patterns and forgetting old ones by means of a data driven polyhedral based loss constraint and an optimal mixture of asset price signals we perform a case study to illustrate that it is possible to obtain a loss controlled portfolio with higher expected returns than chosen benchmark strategies considering realistic transaction costs out of sample results obtained by applying our model for each day of the historical data 2000 2015 and updating with realized returns indicate that our robust portfolio exhibited an enhanced performance while successfully constraining possible losses

carbon trading thickness and market efficiency abstract this note tests for the efficient market hypothesis emh in the market for co 2 emission allowances in phase i and phase ii of the european union emissions trading scheme eu ets as usually is the case in emerging and non competitive markets such as the eu ets trading often not occurs on a frequent basis this has adverse implications for both the gains from permit trade as well as biases the emh tests variance ratio tests are employed to adjust for the thin trading effect the results indicate that phase i the trial and learning period was inefficient whereas the first period under phase ii shows signs of restoring market efficiency

intertemporal profitability and the stability of technical analysis evidences from the hong kong stock exchange this study investigates the impact of market integration on the profitability of two simple and popular technical trading rules the simple moving average sma and the trading range break trb in hong kong using data from 1972 to 2006 we find that the sma 1 50 consistently outperforms the market before the integration of stock exchanges in 1986 under the 1 50 rule a variable length moving average performs better than the fixed length moving average rule by 2 5 to 5 annual before transaction costs because it includes the information of the first 9 days into investors decision the results are robust to the out of sample tests for the validity of the profitability of the trading rules the returns of the trading range break rules are insignificant over the 35 year span our results support the conjecture that stock market integration may lead to better information efficiency the findings of significant pre 1986 profits and insignificant post 1986 profits contradict previous findings that r

asymmetric return dynamics and technical trading strategies abstract we investigate the profitability of technical trading strategies based on an asymmetric reverting property of stock returns we identify an asymmetry in return dynamics for daily returns on the s p 500 index return dynamics evolve along a positive negative unconditional mean after a prior positive negative return the trading strategies based on this asymmetry generate a positive return for buy signals a negative return for sell signals and a positive return for the spread between buy and sell signals our results imply that the observed asymmetry in return dynamics is the main source of profitability for the implied strategies thereby corroborating arguments for the usefulness of technical trading strategies

financial returns and efficiency as seen by an artificial technical analyst abstract we introduce trading rules which are selected by an artificially intelligent agent who learns from experience an artificial technical analyst these rules restrict the data mining concerns associated with the use of simple technical trading rules as model evaluation devices and are good at recognising subtle regularities in return processes the relationship between the efficiency of financial markets and the efficacy of technical analysis is investigated and it is shown that the artificial technical analyst can be used to provide a quantitative measure of market efficiency we estimate this measure on the djia daily index from 1962 to 1986 and draw implications for the optimal behaviour of certain classes of investors it is also shown that the structure of technical trading rules commonly used is consistent with utility maximisation for risk neutral agents and in a myopic sense even for risk averse agents

modeling co2 emission allowance prices and derivatives evidence from the european trading scheme this paper studies the three main markets for emission allowances within the european union emissions trading scheme eu ets powernext nord pool and european climate exchange ecx the analysis suggests that the prohibition of banking of emission allowances between distinct phases of the eu ets has significant implications in terms of futures pricing motivated by these findings we develop an empirically and theoretically valid framework for the pricing and hedging of intra phase and inter phase futures and options on futures respectively

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

charts noise and fundamentals in the london foreign exchange market this paper presents some empirical evidence on the prevalence perceived importance and nature of chartist or technical analysis in the london foreign exchange market if noise traders see e g de long et al i987 are defined as those speculators who do not base their trading strategies on a consideration of market fundamentals then it clearly encompasses those traders who employ chart analysis i e those who base their strategies on the analysis and extrapolation of past price movements alone

a model of intertemporal emission trading banking and borrowing abstract this paper provides a general treatment of emission trading banking and borrowing in an intertemporal continuous time model using optimal control theory the decentralized behavior of firms is shown to lead to the least cost solution attainable under joint cost minimization explicit solutions for the time paths of emissions and permit prices are derived when firms are allowed to both bank and borrow and when firms are only allowed to bank emission permits the policy implications of emission banking and borrowing are discussed

exports growth and threshold effects in africa abstract the relationship between openness and growth remains a controversial issue in development economics with many studies focusing on the export growth relationship this paper examines whether the relationship between exports and growth found in large cross section studies also holds in the context of african economies the paper employs threshold regression techniques to examine whether african countries benefit more from exports when they reach a certain level of development or openness our results suggest that there is indeed a positive relationship between exports and growth in africa the threshold regression analysis also suggests that it is not necessary for a country to reach a certain level of development or to have an existing export base for this relationship to hold though it is found that the relationship is stronger for countries that experience higher rates of export growth

risk aversion uncertain information and market efficiency abstract this paper develops and tests the uncertain information hypothesis as a means of explaining the response of rational risk averse investors to the arrival of unanticipated information the theory predicts that following news of a dramatic financial event both the risk and expected return of the affected companies increase systematically and that prices react more strongly to bad news than good an empirical investigation of over 9000 marketwide and firm specific events produces results consistent with these predictions we conclude that the market reacts to uncertain information in an efficient if not instantaneous manner

downside risk and portfolio diversification in the euro zone equity markets with special consideration of the crisis period abstract this study examines the value at risk for ten euro zone equity markets individually and also divided into two groups piigs portugal italy ireland greece and spain and the core austria finland france germany and the netherlands employing four var estimation and evaluation methods considered over the full period and the pre and post global crisis subperiods 1 and 2 the backtesting results are also evaluated according to the basel capital requirements the results demonstrate that the cevt methods meet all the statistical criteria the best for most individual equity indices over the full period but these results over the two subperiods for those two methods are mixed compared to those the dpot methods moreover the two optimal group portfolios of the piigs and the core as well as the grand portfolio that combines the ten indices do not show much diversification benefits the piigs portfolio selects spain s ibex only while that of the core opts for austria s atx only in the full period and subperiod 1 however germany s dax overwhelmingly dominates both the core and the grand portfolios in subperiod 2

stock returns following large one day declines evidence on short term reversals and longer term performance we examine stock returns following large one day price declines and find that the bid ask bounce and the degree of market liquidity explain short term price reversals further we do not find evidence consistent with the overreaction hypothesis we observe that securities with large one day price declines perform poorly over an extended time horizon while the concept of market overreaction has been noted for many years its formal description and examination is a relatively recent area of study debondt and thaler 1985 define the overreaction hypothesis as the overresponse to new information this hypothesis suggests that extreme movements in stock prices are followed by movements in the opposite direction to correct the initial overreaction and that the greater the magnitude of initial price change the more extreme the offsetting reaction one manner in which the overreaction hypothesis has been studied is the analysis of stock returns following large one day stock price declines brown harlow and tinic 1988 and atkins and dyl 1990 find significant reversals for stocks that experience one day price declines focusing on extreme price movements bremer and sweeney 1991 examine returns following one day price declines of 10 percent or more for fortune 500 firms that are in the center for research in security prices crsp data files they find significant positive three day abnormal returns over the period 1962 to 1986 and note that this three day recovery is inconsistent with stock prices fully and quickly reflecting relevant information they also suggest that market illiquidity may partially explain their findings the purpose of this study is to explain security return behavior following large one day declines our primary objective is to explore the role of the bid ask bounce market liquidity and overreaction in explaining price reversals in the three day period immediately following large one day declines large one day price declines are likely to be associated with substantial selling pressure enhancing the probability that a closing transaction is at a

the use of technical analysis in the foreign exchange market abstract technica or chartist analysis of financial markets involves providing forecasts or trading advice on the basis of largely visual inspection of past prices without regard to any underlying economic or fundamental analysis this paper reports the results of a questionnaire survey conducted on behalf of the bank of england among chief foreign exchange dealers based in london in november 1988 amongst other findings it is revealed that at least 90 per cent of respondents place some weight on this form of non fundamental analysis when forming views at one or more time horizons there is also a skew towards reliance on technical as opposed to fundamentalist analysis at shorter horizons which becomes steadily reversed as the length of horizon considered is increased a very high proportion of chief dealers view technical and fundamental analysis as complementary forms of analysis and a substantial proportion suggest that technical advice may be self fulfilling jel f31

on the profitability of technical trading rules based on artificial neural networks evidence from the madrid stock market in this paper we investigate the profitability of a simple technical trading rule based on artificial neural networks anns our results based on applying this investment strategy to the general index of the madrid stock market suggest that in absence of trading costs the technical trading rule is always superior to a buy and hold strategy for both bear market and stable market episodes on the other hand we find that the buy and hold strategy generates higher returns than the trading rule based on ann only for a bull market subperiod 2000 elsevier science s a all rights reserved

anticipated inflation and the capital stock in a cash in advance economy abstract an economy is constructed in which the steady state capital stock is inversely related to the rate of inflation as a result that is directly opposite the usual conclusion

feedback traders and stock return autocorrelations evidence from a century of daily data the authors investigate whether the degree of autocorrelation shown by high frequency stock returns changes with volatility this may result from nontrading effects feedback trading strategies or variable risk aversion the authors results indicate that when volatility is low daily and hourly stock returns exhibit positive autocorrelation but when it is high returns exhibit negative serial correlation they also find an important asymmetry negative serial correlation is more likely after price declines this is consistent with price declines being more likely to induce positive feedback trading the authors also find no significant relation between margin requirements and the autocorrelation of returns copyright 1992 by royal economic society

linear non linear and essential foreign exchange rate prediction with simple technical trading rules abstract this paper investigates the predictability of spot foreign exchange rate returns from past buy sell signals of the simple technical trading rules by using the nearest neighbors and the feedforward network regressions the optimal choices for nearest neighbors hidden units in a feedforward network and the training set are determined by the cross validation method which minimizes the mean square error although this method is computationally expensive the results indicate that it has the advantage of avoiding overfitting in noisy environments and indicate that simple technical rules provide significant forecast improvements for the current returns over the random walk model

the reversal of large stock price decreases extremely large negative 10 day rates of return are followed on average by largerthan expected positive rates of return over following days this price adjustment lasts approximately 2 days and is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon while perhaps not representing abnormal profit opportunities these reversals present a puzzle as to the length of the price adjustment period such a slow recovery is inconsistent with the notion that market prices quickly reflect relevant information recent research on stock returns has uncovered a substantial number of empirical findings that are broadly inconsistent with popular asset pricing models for example keim and stambaugh 1985 cross 1973 french 1980 gibbons and hess 1981 and rogalski 1984 find evidence of day ofthe week and weekend effects on stock returns while banz 1981 and reinganum 1983 find evidence of a size effect this paper presents evidence of another empirical puzzle consider the behavior of a firm s rate of return on days after it has experienced a large negative one day rate of return less than say 10 observed daily stock returns after such an extreme event are significantly larger than average on following days for a 10 fall the return above average is 1 773 for the day after and rises cumulatively to 2 215 by the second day this multiple day price adjustment is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon the major interest of this phenomenon is the long recovery period of the stock price reversal such a slow recovery is inconsistent with the notion that market prices fully and quickly reflect relevant information

varying risk premia in international bond markets abstract cochrane and piazzesi cochrane j h piazzesi m 2005 bond risk premia american economic review 95 138 160 use forward rates to forecast future bond returns we extend their approach by applying their model to international bond markets our results indicate that the unrestricted cochrane and piazzesi 2005 model has a reasonable forecasting power for future bond returns the restricted model however does not perform as well on an international level furthermore we cannot confirm the systematic tent shape of the estimated parameters found by cochrane and piazzesi 2005 the forecasting models are used to implement various trading strategies these strategies exhibit high information ratios when implemented in individual countries or on an international level and outperform alternative approaches we introduce an alternative specification to forecast future bond returns and achieve superior risk adjusted returns in our trading strategy bayesian model averaging is used to enhance the performance of the proposed trading strategy

a test of futures market disequilibrium using twelve different technical trading systems trading of twelve technical system is simulated for a portfolio of twelve commodities from 1978 to 1984 in order to test for market disequilibrium results differ substantially by trading system seven systems produced significant gross returns four of the twelve trading sytems produced significant net returns and significant risk adjusted returns these results show that disequilibrium models are a better description of short run futures price movements than the random walk model they also suggest that there may be additional causes of disequilibrium beyond transaction costs and risk aversion

are seasonal anomalies real a ninety year perspective in recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return in addition to the widely studied relation between firm size and rate of return 1 these include seasonal regularities related to the time of the day harris 1986 the day of the week see ball and bowers 1986 cross 1973 french 1980 gibbons and hess 1981 jaffe and westerfield 1985 keim and stambaugh 1984 and lakonishok and levi 1982 the time of the month ariel 1987 and the turn of the year see haugen and lakonishok 1988 jones pearce and wilson 1987 lakonishok

are moving average trading rules profitable evidence from the european stock markets this article examines the profitability of several simple technical trading rules for 16 european stock markets over the 1990 to 2006 period our results indicate that increasing moving average rules indeed have predictive power being able to discern recurring price patterns for profitable trading even after accounting for the effects of data snooping bias to assess the profitability of different technical trading rules and strategies we adopt the white s 2000 reality check rc test that quantifies the data snooping bias and adjusts for its effects our empirical results also support the hypothesis that technical trading rules can outperform the buy and hold strategy after accounting for transaction costs

technical analysis and the spanish stock exchange testing the rsi macd momentum and stochastic rules using spanish market companies the aim of this research is to examine the result of the application of the indicators relative strength index rsi moving average convergence divergence macd momentum and stochastic in different companies of the spanish continuous market by using these indicators it is intended to give purchase and sale recommendations to small investors the generation of great capital gains depends on the type of the stock exchange company and the indicator which is being used in addition this research solves the problems in case of ambiguity in the indicators for the traders

portfolios in the ibex 35 before and after the global financial crisis abstractin this article we present an analysis of the effectiveness of various portfolio optimization strategies applied to the stocks included in the spanish ibex 35 index for a period of 14 years from 2001 until 2014 the period under study includes episodes of volatility and instability in financial markets incorporating the global financial crisis and the european sovereign debt crisis this implies a challenge in portfolio optimization strategies since the methodologies are restricted to the assignment of positive weights we have taken for asset allocation the daily returns with an estimation window equal to 1 year and we hold portfolio assets for another year this article attempts to influence the discussion over whether the naive diversification proves to be an effective strategy as opposed to portfolio optimization models for that we evaluate the out of sample performance of 15 strategies for asset allocation in the ibex 35 before and after of the global financial crisis our results sugg

a note on the weak form efficiency of capital markets the application of simple technical trading rules to uk stock prices 1935 to 1994 abstract brock et al 1992 found technical trading rules to have predictive ability with regards to the dow jones index the current paper considers whether this result can be replicated on uk data the paper also considers whether investors could earn excess returns from technical analysis in a costly trading environment the paper concludes that although the technical trading rules examined do have predictive ability in terms of uk data their use would not allow investors to make excess returns in the presence of costly trading

naive trading rules in financial markets and wiener kolmogorov prediction theory a study of technical analysis this article attempts a formal study of technical analysis which is a class of informal prediction rules often preferred to wiener kolmogorov prediction theory by participants of financial markets yet wiener kolmogorov prediction theory provides optimal linear forecasts this article investigates two issues that may explain this contradiction first the article attempts to devise formal algorithms to represent various forms of technical analysis in order to see if these rules are well defined second the article discusses under which conditions if any technical analysis might capture those properties of stock prices left unexploited by linear models of wiener kolmogorov theory copyright 1991 by university of chicago press