Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis
The proposition that a relatively new technology such as a differential evolutionary algorithm (DEA) can violate the weak form of the efficient market hypothesis is tested using daily data from the Australian share market from 2000 until 2008. An option trading strategy based on forecasts from a DEA is shown to perform better than a buy and hold strategy over parts of the sample space and, on average, over all of it. Speculators may make supernormal profits using new methodologies however such profits are unlikely to be sustained. Copyright Springer Science+Business Media, LLC. 2012
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Volume (Year): 40 (2012)
Issue (Month): 4 (December)
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- De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
- Sanford J Grossman & Joseph E Stiglitz, 1997.
"On the Impossibility of Informationally Efficient Markets,"
Levine's Working Paper Archive
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- Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
- repec:pri:cepsud:91malkiel is not listed on IDEAS
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