The arc sine law and the treasury bill futures market

Charles Dale and Rosemarie Workman

MPRA Paper from University Library of Munich, Germany

Abstract: According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual decisions. The long periods of failure make it very likely that such application will eventually blow them out of the market.

Keywords: Trading rules; Futures markets; Treasury bills (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 (search for similar items in EconPapers)
Date: 1980-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Published in Financial Analysts Journal No. 6.36(1980): pp. 71-74

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