Filter Tests of U.K. Share Prices

References

• Alexander , S. S. 1961 . Price movements in speculative markets: Trends or random walks . Ind. Mangmt. Rev. , 2 May : 7 – 26 .
   Web of Science ®Google Scholar
• Alexander , S. S. 1964 . Price movements in speculative markets: Trends or random walks . Ind Mangmt. Rev. , 5 ( 2 ) Spring : 25 – 46 .
   Web of Science ®Google Scholar
• Cootner , P. H. , ed. 1964 . The Random Character of Stock Market Prices , M.I.T. Press .
   Google Scholar
• Dryden , M. M. 1969 . A source of bias in filter tests of share prices . J. Bus , July
   Web of Science ®Google Scholar
• Dryden , M. M. 1968 . Short-term forecasting of share prices: An information theory approach . Scot. J. Polit. Econ. , November
   Web of Science ®Google Scholar
• Dryden , M. M. 1969 . Share price movements: A Markovian approach . J. Finance , March
   Web of Science ®Google Scholar
• Fama , E. F. 1965 . The behaviour of stock-market prices . J. Bus. , 38 January : 34 – 105 .
   Web of Science ®Google Scholar
• Fama , E. F. and Blume , M. E. 1966 . Filter rules and stock-market trading . J. Bus. , 39 January : 226 – 241 .
   Web of Science ®Google Scholar
• Hey , J. D. 1968 . “ Spectral analysis of stock-market prices ” . University of Edinburgh . M.Sc. thesis
   Google Scholar
• Kendall , M. G. 1953 . The analysis of economic time series—Part 1: Prices . J. R. Statist. Soc. , 96 : 11 – 25 .
   Google Scholar
• King , B. F. 1966 . Market and industry factors in stock price behaviour . J. Bus. , January
   Web of Science ®Google Scholar
• Mandelbrot , B. 1963 . The variation of certain speculative prices . J. Bus. , 36 October : 394 – 491 .
   Web of Science ®Google Scholar
• Moore , A. B. 1964 . “ Some characteristics of changes in common stock prices ” . In The Random Character of Stock Market Prices , Edited by: Cootner , P. H. M.I.T. Press .
   Google Scholar
• Samuelson , P. A. 1965 . Proof that properly anticipated prices fluctuate randomly . Ind. Mangmt Rev. , 6 Spring : 41 – 49 .
   Web of Science ®Google Scholar
• Smidt , S. 1965 . A test of the serial independence of price changes in soybeans futures . Fd. Res. Inst. Stud. , 5 ( 2 ) 117 – 136 .
   Google Scholar
• Taylor , Basil . 1969 . Investment: art, science or what? . Lloyds Bank Rev. , January
   Google Scholar