Using genetic programming, we find trading rules that
generate significant excess returns for three of four
EMS exchange rates over the out-of-sample period
1986-1996. Permitting the rules to use information
about the interest rate differential proved to be
important. The reduction in volatility resulting from
the imposition of a narrower band may reduce trading
rule profitability. Our results cannot be duplicated by
commonly used moving average rules, filter rules or by
two rules designed to exploit known features of target
zone rates. There is no evidence that the excess
returns are compensation for bearing systematic risk.
%0 Journal Article
%1 Neely:1999:JIMF
%A Neely, Christopher J.
%A Weller, Paul A.
%D 1999
%J Journal of International Money and Finance
%K European Exchange Monetary System, Target Technical Trading algorithms, analysis, genetic programming, rates, rules, zones
%N 3
%P 429--458
%R doi:10.1016/S0261-5606(99)85005-0
%T Technical trading rules in the European Monetary
System
%U http://research.stlouisfed.org/wp/1997/97-015.pdf
%V 18
%X Using genetic programming, we find trading rules that
generate significant excess returns for three of four
EMS exchange rates over the out-of-sample period
1986-1996. Permitting the rules to use information
about the interest rate differential proved to be
important. The reduction in volatility resulting from
the imposition of a narrower band may reduce trading
rule profitability. Our results cannot be duplicated by
commonly used moving average rules, filter rules or by
two rules designed to exploit known features of target
zone rates. There is no evidence that the excess
returns are compensation for bearing systematic risk.
@article{Neely:1999:JIMF,
abstract = {Using genetic programming, we find trading rules that
generate significant excess returns for three of four
EMS exchange rates over the out-of-sample period
1986-1996. Permitting the rules to use information
about the interest rate differential proved to be
important. The reduction in volatility resulting from
the imposition of a narrower band may reduce trading
rule profitability. Our results cannot be duplicated by
commonly used moving average rules, filter rules or by
two rules designed to exploit known features of target
zone rates. There is no evidence that the excess
returns are compensation for bearing systematic risk.},
added-at = {2008-06-19T17:46:40.000+0200},
author = {Neely, Christopher J. and Weller, Paul A.},
biburl = {https://www.bibsonomy.org/bibtex/2803867fb5b3648906850ffcdfb1ef413/brazovayeye},
doi = {doi:10.1016/S0261-5606(99)85005-0},
interhash = {8329a9603005cda781137a4fcc121d3a},
intrahash = {803867fb5b3648906850ffcdfb1ef413},
journal = {Journal of International Money and Finance},
keywords = {European Exchange Monetary System, Target Technical Trading algorithms, analysis, genetic programming, rates, rules, zones},
notes = {JEL classification codes: G0; G14. Also available as
working paper 1997-015C},
number = 3,
pages = {429--458},
timestamp = {2008-06-19T17:48:08.000+0200},
title = {Technical trading rules in the European Monetary
System},
url = {http://research.stlouisfed.org/wp/1997/97-015.pdf},
volume = 18,
year = 1999
}