Technical analysis versus market efficiency - a genetic programming approach

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@Article{fyfe:1999:AFE,
  author =       "Colin Fyfe and John Paul Marney and 
                 Heather F. E. Tarbert",
  title =        "Technical analysis versus market efficiency - a
                 genetic programming approach",
  journal =      "Applied Financial Economics",
  year =         "1999",
  volume =       "9",
  number =       "2",
  pages =        "183--191",
  month =        apr,
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://alidoro.catchword.com/vl=8080356/cl=18/nw=1/fm=docpdf/rpsv/catchword/routledg/09603107/v9n2/s7/p183",
  DOI =          "doi:10.1080/096031099332447",
  size =         "9 pages",
  abstract =     "In the paper the authors maintain that the prevalence
                 of technical analysis in professional investment argues
                 that such techniques should perhaps be taken more
                 seriously by academics. The new technique of genetic
                 programming is used to investigate a long time series
                 of price data for a quoted property investment company,
                 to discern whether there are any patterns in the data
                 which could be used for technical trading purposes. A
                 successful buy rule is found which generates returns in
                 excess of what would be expected from the best-fitting
                 null time-series model. Nevertheless, this turns out to
                 be a more sophisticated variant of the buy and hold
                 rule, which the authors term timing specific buy and
                 hold. Although the rule does outperform simple buy and
                 hold, it really does not provide sufficient grounds for
                 the rejection of the efficient market hypothesis,
                 though it does suggest that further investigation of
                 the specific conditions of applicability of the EMH may
                 be appropriate.",
}

Genetic Programming entries for Colin Fyfe John Paul Marney Heather F E Tarbert

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