Market Statistics and Technical Analysis: The Role of Volume
Lawrence Bloom, David Easley, Maureen O'Hara
Journal of Finance. Volume 49, Issue 1, (1994), 153-181.

On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
Michael W. Brandt and Qiang Kang
NBER Working Paper #9056.. (July 2002).

On Technical Analysis
David P. Brown, Robert H. Jennings
Review of Financial Studies. Volume 2, Issue 4, (1989), 527-551. 

Momentum Strategies
Louis K.C. Chan, Narasimhan Jegadeesh, Josef Lakonishok
Journal of Finance. Volume 51, Issue 5, (1996), 1681-1713.

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Peter Christoffersen and Francis X. Diebold
NBER Working Paper #10009. (October 2003). 

An Anatomy of Trading Strategies
Jennifer Conrad and Gautam Kaul
Review of Financial Studies. Volume 11, Issue 3 (Autumn 1998), 489-519.

Filter Rules Based on Price and Volume in Individual Security Overreaction
Michael Cooper
Review of Financial Studies. Volume 12, Issue 4 (1999), 901-935.

Can Individual Investors Beat the Market?
Josha D. Coval, David A. Hirshleifer, and Tyler G. Shumway
Harvard Negotiation, Organizations and Markets Research Paper No. 02-45.
Available at the Financial Economics Network.

On the Predictability of Stock Market Returns: Evidence From Industry-Rotation Strategies
Robert R. Grauer
Working Paper, Simon Fraser University - Available for download. (October 2000).

Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
Mark Grinblatt, Sheridan Titman, Russ Wermers
The American Economic Review. Volume 85, Issue 5 (December 1995), 1088-1105.

On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
Roy D. Henriksson and Robert C. Merton
Journal of Business. Volume 54, Issue 4 (Oct. 1981), 513-533.

Over-Reaction, Delayed Reaction, and Contrarian Profits
Narasimhan Jegadeesh, Sheridan Titman
Review of Financial Studies. Volume 8, Issue 4, (1995), 973-993.

Measuring the Predictable Variation in Stock and Bond Returns
Chris Kirby
Review of Financial Studies. Volume 10, Issue 3 (Autumn, 1997), 579-630.

Estimating the Profits from Trading Strategies
Peter J. Knex, Mark J. Ready
Review of Financial Studies. Volume 9, Issue 4 (Winter, 1996), 1121-1163.

On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts
Robert C. Merton
Journal of Business.

Naive Trading Rules in Financial Markets and Weiner-Kolmogorov Prediction Theory: A Study of `Technical Analysis'
Sahil Neftch
Journal of Business. Volume 64, Issue 4, (1991), 549-571.