Forecasting the S&P500: A Disequilibrium Indicator
AbstractThe ability of forecast the S&P500 is inconsistent with the notion of efficient markets. this established wisdom has come under attack in the past few years, from such concepts as noise trading. A Potential problem with noise trading, however, is that there are no tools to inform inormation of the extent of mis-pricing. This paper offers such a tool.
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Bibliographic InfoPaper provided by Melbourne - Centre in Finance in its series Papers with number 96-5.
Length: 28 pages
Date of creation: 1996
Date of revision:
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Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
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Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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