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Intraday technical trading in the foreign exchange market

By Christopher J. Neely and Paul A. Weller

Abstract

This paper examines the out-of-sample performance of intraday technical trading\ud strategies selected using two methodologies, a genetic program and an optimized linear\ud forecasting model. When realistic transaction costs and trading hours are taken into account, we\ud find no evidence of excess returns to the trading rules derived with either methodology. Thus, our\ud results are consistent with market efficiency. We do, however, find that the trading rules discover\ud some remarkably stable patterns in the data

Topics: HG, QA
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 1999
OAI identifier: oai:wrap.warwick.ac.uk:1846

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