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. Warwick Business School Financial Econometrics Research Centre, University of Warwick.
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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|
|Date:||23 September 1999|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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