Most of the existing technical trading rules are linear in nature. This paper investigates the predictability of nonlinear time series model based trading strategies in the U.S. stock market. The performance of the nonlinear trading rule is compared with that of the linear model based rules. It...

Statistical time-series approaches to hedging are difficult to beat, especially out-of-sample, and are capable of out-performing many theory-based derivative pricing model approaches to hedging commodity price risks using futures contracts. However, the vast majority of time-series approaches to...

A methodology for forecasting the sales of an ethical drug as a function of marketing effort before any sales data are available and for updating the forecast with a few periods of sales data is presented. Physicians' perceptions of the drug on a number of attributes, e.g. effectiveness, range...

The impact of forecasted demand and forecast error, introduced in the Master Production Schedule, upon Material Requirements Planning (MRP) Systems is investigated. A computerized simulation was built to examine several questions. Results indicate that forecasting error, especially the mean...

We present a framework, decision models, and supporting methods to improve government's decisions on a class of intervention problems. The example used is on natural gas shortages. We provide three decision models that move progressively from regulated market mechanisms as a means of gas...

The impact on forecast accuracy of aggregating the subjective forecasts of up to 13 individuals was examined for five forecast weighting methods---equal weighting, two ex post methods that took advantage of prior information about the individuals' relative accuracy, and two ex ante methods based...

This paper is about the motivation, methodology, and evaluation of combining the forecasts from two or more different models in a "combined" forecast. Granger and Newbold (Granger, C., P. Newbold. 1977. Forecasting Economic Time Series. Academic Press, New York.) have presented this method as...