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Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis

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  • Taylor, Stephen J.
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 17 (1982)
    Issue (Month): 01 (March)
    Pages: 37-61

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    Handle: RePEc:cup:jfinqa:v:17:y:1982:i:01:p:37-61_01

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    Cited by:
    1. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
    2. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
    3. Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2012. "Testing for predictability in a noninvertible ARMA model," MPRA Paper 37151, University Library of Munich, Germany.
    4. L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.
    5. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
    6. Chun, Young Hak, 1997. "Rank-based selection strategies for the random walk process," European Journal of Operational Research, Elsevier, vol. 96(2), pages 417-427, January.
    7. L. Ingber & R.P. Mondescu, 2001. "Optimization of trading physics models of markets," Lester Ingber Papers 01ot, Lester Ingber.
    8. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.

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