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The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

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Levich, Richard M.
Thomas, Lee III
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 12 (1993)
Issue (Month): 5 (October)
Pages: 451-474
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Handle: RePEc:eee:jimfin:v:12:y:1993:i:5:p:451-474

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis. [Downloadable!]
  2. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Ronald J. Balvers & Yangru Wu, 2004. "Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 04-12, Department of Economics, West Virginia University. [Downloadable!]
  4. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38. [Downloadable!]
  5. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  6. Cees Diks & Roy van der Weide, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," Tinbergen Institute Discussion Papers 03-103/1, Tinbergen Institute. [Downloadable!]
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  7. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO. [Downloadable!]
  8. Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorski, 2002. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Departmental Working Papers wp0201, National University of Singapore, Department of Economics. [Downloadable!]
  9. Bertrand Maillet, Thierry Michel, 2000. "Further insights on the puzzle of technical analysis profitability," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 196-224, June. [Downloadable!] (restricted)
  10. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
    Other versions:
  11. Graham Elliott & Takatoshi Ito, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market," University of California at San Diego, Economics Working Paper Series 98-06, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  12. Ryan Sullivan & Allan Timmermann & Halbert White, 1997. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," University of California at San Diego, Economics Working Paper Series 97-31, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  13. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
  14. P. Lequeux, E. Acar, 1998. "A dynamic index for managed currencies funds using CME currency contracts," European Journal of Finance, Taylor and Francis Journals, vol. 4(4), pages 311-330, December. [Downloadable!] (restricted)
  15. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
  16. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York. [Downloadable!]
  17. Christopher Neely & Paul Weller, 1998. "Technical trading rules in the European Monetary System," Working Papers 1997-015, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  18. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  19. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
  20. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics. [Downloadable!]
  21. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," European Journal of Finance, Taylor and Francis Journals, vol. 7(4), pages 335-355, December. [Downloadable!] (restricted)
  22. Stephan Schulmeister, . "Profitability and Price Effects of Technical Currency Trading," WIFO Working Papers 140, WIFO. [Downloadable!]
  23. Juann H. Hung, 1995. "Intervention strategies and exchange rate volatility: a noise trading perspective," Research Paper 9515, Federal Reserve Bank of New York. [Downloadable!]
  24. Zwart, G. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," Research Paper ERS-2007-096-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  25. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
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