Salih N.Neftci – Naive Trading Rules in Financial Markets and Wiener-Kolmogor

Naive Trading Rules in Financial Markets

About this book

Abstract
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.

Journal Information

The Journal of Business ceased publication with the November 2006 issue (Volume 79, Number 6). Founded in 1928, The Journal of Business was the first scholarly journal to focus on business-related research and played a pioneering role in fostering serious academic research about business. However, in appreciation of the increasing specialization in business scholarship, as reflected in the emergence of many specialized business journals, the faculty of the University of Chicago’s Graduate School of Business decided after careful deliberation and extensive dialogue to cease publication of the more broadly focused Journal at the end of 2006, after nearly eight decades of publication by the University of Chicago Press.

Author: Salih N.Neftci

Salih Nur Neftçi (14 July 1947 – 15 April 2009) was a leading expert in the fields of financial markets and financial engineering. He served many advisory roles in national and international financial institutions, and was an active researcher in the fields of finance and financial engineering. Neftçi was an avid and highly regarded educator in mathematical finance who was well known for a lucid and accessible approach towards the field.

Course Available