  We introduce a stochastic price model where, together with a random
component, a moving average of logarithmic prices contributes to the price
formation. Our model is tested against financial datasets, showing an extremely
good agreement with them. It suggests how to construct trading strategies which
imply a capital growth rate larger than the growth rate of the underlying
asset, with also the effect of reducing the fluctuations. These results are a
clear evidence that some hidden information is not fully integrated in price
dynamics, and therefore financial markets are partially inefficient. In simple
terms, we give a recipe for speculators to make money as long as only few
investors follow it.
