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The arc sine law and the treasury bill futures market

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  • Dale, Charles
  • Workman, Rosemarie

Abstract

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual decisions. The long periods of failure make it very likely that such application will eventually blow them out of the market.

Suggested Citation

  • Dale, Charles & Workman, Rosemarie, 1980. "The arc sine law and the treasury bill futures market," MPRA Paper 46101, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46101
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    File URL: https://mpra.ub.uni-muenchen.de/46101/1/MPRA_paper_46101.pdf
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    References listed on IDEAS

    as
    1. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    2. Vignola, Anthony & Dale, Charles, 1979. "Is the Futures Market for Treasury Bills Efficient?," MPRA Paper 48762, University Library of Munich, Germany.
    3. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    4. Praetz, Peter D, 1976. "On the Methodology of Testing for Independence in Future Prices: Comment," Journal of Finance, American Finance Association, vol. 31(3), pages 977-979, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Chandrinos, Spyros K. & Lagaros, Nikos D., 2018. "Construction of currency portfolios by means of an optimized investment strategy," Operations Research Perspectives, Elsevier, vol. 5(C), pages 32-44.
    2. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    3. Jeong-Gyoo KIM, 2019. "An Arc-Sine Law for Last Hitting Points in the Two-Parameter Wiener Space," Mathematics, MDPI, vol. 7(11), pages 1-11, November.
    4. Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs, 1979. "Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System," MPRA Paper 58897, University Library of Munich, Germany.
    5. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    6. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    7. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
    8. Yu, Hao & Nartea, Gilbert V. & Gan, Christopher & Yao, Lee J., 2013. "Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 356-371.
    9. Dale, Charles, 1991. "Economics of Energy Futures Markets," MPRA Paper 47447, University Library of Munich, Germany.

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    More about this item

    Keywords

    Trading rules; Futures markets; Treasury bills;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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