IDEAS home Printed from https://ideas.repec.org/p/emp/wpaper/wp04-03.html
   My bibliography  Save this paper

Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market

Author

Listed:
  • Laura Nuñez

    (Instituto de Empresa)

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 Nuñez (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.

Suggested Citation

  • Laura Nuñez, 2004. "Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market," Working Papers Economia wp04-03, Instituto de Empresa, Area of Economic Environment.
  • Handle: RePEc:emp:wpaper:wp04-03
    as

    Download full text from publisher

    File URL: http://latienda.ie.edu/working_papers_economia/WP04-03.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Genetic algorithms; Madrid Stock Exchange; Moving average; Trading rules;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:emp:wpaper:wp04-03. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Amada Marcos (email available below). General contact details of provider: https://edirc.repec.org/data/aeeiees.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.