Abstract
The series of past prices can be used to forecast future prices or to filter the prices themselves to find their true values. However, the normal criteria used to shape the models are of very little use, and new criteria have to be relied upon.
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Notes
- 1.
In financial time series, there are in fact (rare, but very important) string rapid movements of short duration, the so-called Noah effect (Di Lorenzo 2011); however, against them there is very little to do.
References
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Di Lorenzo R (2010) Come guadagnare in Borsa, Il Sole 24 ORE
Di Lorenzo R (2011) Il nuovo guadagnare in Borsa, Il Sole 24 ORE
Spiegel MR (1975) Probability and statistics. McGraw-Hill, New York
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Di Lorenzo, R. (2013). Process of the AR(p) Type. In: Trading Systems. Perspectives in Business Culture. Springer, Milano. https://doi.org/10.1007/978-88-470-2706-0_11
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DOI: https://doi.org/10.1007/978-88-470-2706-0_11
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