Moving average rules as a source of market instability

Elsevier Science Bv
Publication Type:
Journal Article
Physica A: Statistical Mechanics and its Applications, 2006, 370 (1), pp. 12 - 17
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Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial m
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