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

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