The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market

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@Article{Neely:2009:JFQA,
  author =       "Christopher J. Neely and Paul A. Weller and 
                 Joshua M. Ulrich",
  title =        "The Adaptive Markets Hypothesis: Evidence from the
                 Foreign Exchange Market",
  journal =      "Journal of Financial and Quantitative Analysis",
  year =         "2009",
  volume =       "44",
  number =       "2",
  pages =        "467--488",
  keywords =     "genetic algorithms, genetic programming",
  ISSN =         "0022-1090",
  publisher =    "CUP",
  DOI =          "doi:10.1017/S0022109009090103",
  abstract =     "We analyse 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.",
  notes =        "http://www.jfqa.org/",
}

Genetic Programming entries for Christopher J Neely Paul A Weller Joshua M Ulrich

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