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Further insights on the puzzle of technical analysis profitability

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Author Info

  • Bertrand Maillet
  • Thierry Michel

Abstract

This paper extends current results concerning technical analysis efficiency on the foreign exchange market and attempts to determine whether filtering the raw exchange rate series with some trading rule significantly changes its characteristics. Because of the non-normality of exchange rate series, bootstrap methods are used on the main daily exchange rates since 1974 to show technical analysis performance. The technical analysis strategy tested generates returns whose distribution is significantly different from the basic series. The robustness of the results is tested in and out-of-sample and an explanation of the technical analysis performance based on its filtering properties is suggested.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13518470050020842
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

Volume (Year): 6 (2000)
Issue (Month): 2 ()
Pages: 196-224

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Handle: RePEc:taf:eurjfi:v:6:y:2000:i:2:p:196-224

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Related research

Keywords: International Finance Technical Analysis Performance Market Foreign Exchange Financial Forecasting Efficient Market Hypothesis;

References

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Citations

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Cited by:
  1. 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.
  2. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.
  3. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
  4. Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
  5. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
  6. Bertrand Maillet & Thierry Michel, 2005. "Technical analysis profitability when exchange rates are pegged: A note," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 463-470.
  7. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.

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