Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market
Abstract(WP 03/04 Clave pdf) Previous studies have reported mixed results with regard to the success of technical trading rules.Studies that provide positive evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al (1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the utility of technical trading rules are [Hudson et al (1996) or Allen et al (1999)]. A recent body of work has applied evolutionary algorithms to the design of trading rules [see Karjalainen (1994), Allen et al (1999), Fernandez et al (2001) and NuÃ±ez (2002)].This paper uses genetic algorithms to tests the forecastability of the moving average in the MSE.We report the lack of utility of this indicator.
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Bibliographic InfoPaper provided by Instituto de Empresa, Area of Economic Environment in its series Working Papers Economia with number wp04-03.
Length: 16 pages
Date of creation: Feb 2004
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Genetic algorithms; Madrid Stock Exchange; Moving average; Trading rules;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-25 (All new papers)
- NEP-CMP-2005-07-25 (Computational Economics)
- NEP-FMK-2005-07-25 (Financial Markets)
- NEP-FOR-2005-07-25 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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