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Volatility-based filtering is proposed to pre-process historical daily return data of stock indexes before applying to price-based technical analysis trading rules. Any “nearly flat” days which have daily gains or losses less than a threshold about 20% of a daily volatility measure, is...
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reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
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