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R. Baviera, Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva:

Moving Averages and Market Inefficiency

We introduce a stochastic price model where, together with a random com-
ponent, a moving average of logarithmic prices contributes to the price for-
mation.

By Prof. R. Baviera, Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva

Published by International Journal of Theoretical and Applied Finance 6, 2002

Summary:

Abstract

Introduction

The Model

Data Analysis

Efficiency

Forecasting

Conclusions and References

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