Technical analysis versus market efficiency - a genetic programming approach
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @Article{fyfe:1999:AFE,
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author = "Colin Fyfe and John Paul Marney and
Heather F. E. Tarbert",
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title = "Technical analysis versus market efficiency - a
genetic programming approach",
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journal = "Applied Financial Economics",
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year = "1999",
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volume = "9",
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number = "2",
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pages = "183--191",
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month = apr,
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keywords = "genetic algorithms, genetic programming",
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ISSN = "0960-3107",
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URL = "http://alidoro.catchword.com/vl=8080356/cl=18/nw=1/fm=docpdf/rpsv/catchword/routledg/09603107/v9n2/s7/p183",
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DOI = "doi:10.1080/096031099332447",
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size = "9 pages",
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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.",
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notes = "Department of Computing, The University of Paisley,
UK",
- }
Genetic Programming entries for
Colin Fyfe
John Paul Marney
Heather F E Tarbert
Citations