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Technical Trading Versus Market Efficiency-A Genetic Programming Approach

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Author Info
J.P. Marney (University of Paisley)
H. Tarbert (University of Strathclyde)
C. Fyfe
Abstract

In this paper genetic programming is used to investigate a number of long time series of price data for a stock exchange quoted share, in order to discern whether there are any patterns in the data which could be used for technical trading purposes. This extends the work done by the authors in a previous paper (Fyfe et al. 1999) which suggested that, although it was possible to find a rule which did outperform simple buy and hold, there were insufficient grounds for the rejection of the efficient market hypothesis. The purpose of the present paper is to investigate the robustness and generalisability of the conclusion reached by Fyfe et. al.

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 169.

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Date of creation: 05 Jul 2000
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Handle: RePEc:sce:scecf0:169

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Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
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