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Working Paper 1999-016B Search | View by Year | View by Category | View by Author | View by JEL Code"Intraday Technical Trading in the Foreign Exchange Market"
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, however, find that the trading rules discover some remarkably stable patterns in the data. Full Text - Acrobat PDF (215k) Notify Me of Updates for:
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