Journal article
Intraday technical trading in the foreign exchange market
Journal of international money and finance, Vol.22(2), pp.223-237
04/01/2003
DOI: 10.1016/S0261-5606(02)00101-8
Abstract
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 find, however, that the trading rules discover some remarkably stable patterns in the data.
Details
- Title: Subtitle
- Intraday technical trading in the foreign exchange market
- Creators
- C.J. Neely - Federal Reserve Bank of St. LouisP.A. Weller - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of international money and finance, Vol.22(2), pp.223-237
- DOI
- 10.1016/S0261-5606(02)00101-8
- ISSN
- 0261-5606
- eISSN
- 1873-0639
- Publisher
- Elsevier Ltd
- Number of pages
- 15
- Language
- English
- Date published
- 04/01/2003
- Academic Unit
- Finance
- Record Identifier
- 9984963055802771
Metrics
1 Record Views