2006, English, Article, Working paper edition: The adaptive markets hypothesis [electronic resource] : evidence from the foreign exchange market / by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich. Neely, Christopher J.

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Bookmark: http://trove.nla.gov.au/version/24944149
Published
  • [St. Louis, Mo.] : Federal Reserve Bank of St. Louis, [2006]
Language
  • English

Edition details

Title
  • The adaptive markets hypothesis : evidence from the foreign exchange market /​ by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich.
Author
  • Neely, Christopher J.
Other Authors
  • Weller, Paul A.
  • Ulrich, Joshua M.
  • Federal Reserve Bank of St. Louis
Published
  • [St. Louis, Mo.] : Federal Reserve Bank of St. Louis, [2006]
Medium
  • [electronic resource]
Series
Subjects
Summary
  • "We analyze the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the mid-1990s for filter and moving average (MA) rules. Returns to less-studied rules, such as channel, ARIMA, genetic programming and Markov rules, also have declined, but have probably not completely disappeared. The volatility of returns makes it difficult to estimate mean returns precisely. The most likely time for a structural break in the MA and filter rule returns is the early 1990s. These regularities are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Markets Hypothesis"--Federal Reserve Bank of St. Louis web site.
Notes
  • Title from PDF file as viewed on 8/​7/​2006.
  • Includes bibliographical references.
  • Also available in print.
Technical Details
  • System requirements: Adobe Acrobat Reader.
  • Mode of access: World Wide Web.
Language
  • English
Libraries Australia ID
Contributed by
Libraries Australia

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