Intraday technical trading in the foreign exchange market
Neely, Christopher J. and Weller, Paul A. (1999) Intraday technical trading in the foreign exchange market. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.2).
WRAP_Neely_fwp99-02.pdf - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
This paper examines the out-of-sample performance of intraday technical trading
strategies selected using two methodologies, a genetic program and an optimized linear
forecasting model. When realistic transaction costs and trading hours are taken into account, we
find no evidence of excess returns to the trading rules derived with either methodology. Thus, our
results are consistent with market efficiency. We do, however, find that the trading rules discover
some remarkably stable patterns in the data.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance
Q Science > QA Mathematics
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Technical analysis (Investment analysis), Genetic programming (Computer science), Linear models (Statistics), Foreign exchange market|
|Series Name:||Working Papers Series|
|Publisher:||Warwick Business School Financial Econometrics Research Centre|
|Place of Publication:||University of Warwick|
|Official Date:||23 September 1999|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Allen, Franklin and Risto Karjalainen, 1998. "Using Genetic Algorithms to Find Technical
Actions (login required)