Intraday technical trading in the foreign exchange market

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@Article{neely:2003:JIMF,
  author =       "Christopher J. Neely and Paul A. Weller",
  title =        "Intraday technical trading in the foreign exchange
                 market",
  journal =      "Journal of International Money and Finance",
  year =         "2003",
  volume =       "22",
  number =       "2",
  pages =        "223--237",
  month =        apr,
  keywords =     "genetic algorithms, genetic programming, Technical
                 analysis, Trading rule, Exchange rate, High frequency",
  DOI =          "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.",
  notes =        "JEL classification codes: F31; G15 Also available as
                 working paper \cite{1999-016}B
                 http://research.stlouisfed.org/wp/1999/99-016.pdf",
}

Genetic Programming entries for Christopher J Neely Paul A Weller

Citations