Optimal Trading Strategy When Return Process is AR(1)
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|Contact details of provider:|| Postal: CEF97, Stanford University, Department of Economics, Stanford CA USA|
Web page: http://bucky.stanford.edu/cef97/
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- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
Review of Financial Studies,
Society for Financial Studies, vol. 1(1), pages 41-66.
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