Filter Rules and Stock-Market Trading

Abstract: In the recent literature there has been a considerable interest in the theory of random walks in stock-market prices. The basic hypothesis of the theory is that successive price changes in individual securities are independent random variables. Independence implies, of course, that the past history of a series of changes cannot be used to predict future changes in any "meaningful" way.

Author(s): Eugene F. Fama and Marshall E. Blume

Fama & Blume (1966).pdf