| Article ID: | iaor198937 |
| Country: | Netherlands |
| Volume: | 4 |
| Start Page Number: | 421 |
| End Page Number: | 426 |
| Publication Date: | Jul 1988 |
| Journal: | International Journal of Forecasting |
| Authors: | Taylor Stephen J |
| Keywords: | time series & forecasting methods |
Previous research into forecasts of market prices has shown that sophisticated forecasts are futile for many markets. This paper reviews recent research and identifies those markets for which non-trivial forecasts can lead to profitable decisions. Particular attention is given to futures and options markets and to the application of non-linear time series models.