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Neely, Christopher J. and Weller, Paul A. (1999) Technical analysis and central bank intervention. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.4).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
This paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1997) to
show that technical trading rules can make use of information about U.S. foreign exchange intervention to
improve their out-of-sample profitability for two of four exchange rates. Rules tend to take positions
contrary to official intervention and are unusually profitable on days prior to intervention, indicating that
intervention is intended to check or reverse predictable trends. Intervention seems to be more successful in
checking predictable trends in the out-of-sample (1981-1996) period than in the in-sample (1975-1980)
period. We conjecture that this instability in the intervention process prevents more consistent improvement
in the excess returns to rules. We find that the improvement in performance results solely from more
efficient use of the information in the past exchange rate series rather than from information about
contemporaneous intervention.
| Item Type: | Working or Discussion Paper (Working Paper) | ||||
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| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Foreign exchange -- United States, Technical analysis (Investment analysis), Federal Reserve banks, Genetic programming (Computer science) | ||||
| Series Name: | Working Papers Series | ||||
| Publisher: | Warwick Business School Financial Econometrics Research Centre | ||||
| Place of Publication: | University of Warwick | ||||
| Official Date: | 26 March 1999 | ||||
| Dates: |
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| Volume: | Vol.1999 | ||||
| Number: | No.4 | ||||
| Status: | Not Peer Reviewed | ||||
| Access rights to Published version: | Open Access (Creative Commons) |
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