Intraday Technical Trading in the Foreign Exchange Market

Created by W.Langdon from gp-bibliography.bib Revision:1.4333

  author =       "Christopher J. Neely and Paul A. Weller",
  title =        "Intraday Technical Trading in the Foreign Exchange
  institution =  "Federal Reserve Bank of St. Louis, Research Division",
  year =         "2001",
  type =         "Working paper",
  number =       "1999-016B",
  address =      "411 Locust Street, St. Louis, MO 63102, USA",
  month =        "10 " # jan,
  keywords =     "genetic algorithms, genetic programming, technical
                 trading rules, exchange rates",
  URL =          "",
  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, however, find
                 that the trading rules discover some remarkably stable
                 patterns in the data.",
  notes =        "JEL subject numbers: F31, G15

                 Published as \cite{neely:2003:JIMF}",
  size =         "34 pages",

Genetic Programming entries for Christopher J Neely Paul A Weller