Predicting the Unpredictable?: Science and Guesswork in Financial Market Forecasting
The author discusses how research in financial markets has evolved and whether the application of theories can ever be translated into 'excess profits'.
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Foreword Colin Robinson
The Statistical Analysis of Financial Data
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abnormal profits academic Actuaries 500 Index Affairs 2 Lord anomalies Arthur Ellinger asset available information Bachelier behaviour Cambridge chartists charts Cointegration combination of past current price dividend yield econometric Economic Affairs economists effect Efficient Markets Hypothesis evidence examine example excess volatility Exchange Rates expectations hypothesis Fama financial data financial markets follow a random foreign exchange market formal fundamental future price gilt markets Gilt Yields Goodhart head-and-shoulders implies independent Institute of Economic interest rate investment analysts investors Journal of Business Logarithms long-horizon returns Louis Bachelier Mandelbrot Marks & Spencer martingale mean reversion Mills Monetary Non-Linear Models observations paper past price changes Patrick Minford period price index price level price series Prices and Gilt primary trend Prof Professor random variables random walk hypothesis reflect relevant Shiller stock and gilt Stock Market Prices strategy Technical Analysis techniques TERENCE term structure Thaler theory time-series UK stock market uncorrelated University