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Forecasting market prices |
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| Affiliation: | 1. Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;2. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;3. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China |
| Abstract: | 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. |
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