Journal article
The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
Journal of financial and quantitative analysis, Vol.44(2), pp.467-488
04/01/2009
DOI: 10.1017/S0022109009090103
Abstract
We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the early 1990s for filter and moving average rules. Returns to less-studied rules also have declined but have probably not completely disappeared. High volatility prevents precise estimation of mean returns. These regularities are consistent with the Adaptive Markets Hypothesis (Lo (2004)), but not with the Efficient Markets Hypothesis.
Details
- Title: Subtitle
- The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
- Creators
- Christopher J. Neely - Federal Reserve Bank of St. LouisPaul A. Weller - University of IowaJoshua M. Ulrich - 3joshua.m.ulrich@gmail.com
- Resource Type
- Journal article
- Publication Details
- Journal of financial and quantitative analysis, Vol.44(2), pp.467-488
- DOI
- 10.1017/S0022109009090103
- ISSN
- 0022-1090
- eISSN
- 1756-6916
- Publisher
- Cambridge University Press
- Number of pages
- 22
- Language
- English
- Date published
- 04/01/2009
- Academic Unit
- Finance
- Record Identifier
- 9984963054302771
Metrics
1 Record Views