On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market
Download full text from publisher
Other versions of this item:
- Fernandez-Rodriguez, Fernando & Gonzalez-Martel, Christian & Sosvilla-Rivero, Simon, 2000. "On the profitability of technical trading rules based on artificial neural networks:: Evidence from the Madrid stock market," Economics Letters, Elsevier, vol. 69(1), pages 89-94, October.
References listed on IDEAS
- Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero & Maria Dolores Garcia-Artiles, 1997. "Using nearest neighbour predictors to forecast the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 75-91, January.
- LeBaron, Blake, 1999.
"Technical trading rule profitability and foreign exchange intervention,"
Journal of International Economics,
Elsevier, vol. 49(1), pages 125-143, October.
- Blake LeBaron, "undated". "Technical Trading Rule Profitability and Foreign Exchange Intervention," Working papers _002, University of Wisconsin - Madison.
- Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
- Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA.
- LeBaron, B., 1996. "Technical Trading Rule Profitability and Foreing Exchange Intervention," Working papers 9445r, Wisconsin Madison - Social Systems.
- Pesaran, M Hashem & Timmermann, Allan, 1992.
"A Simple Nonparametric Test of Predictive Performance,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(4), pages 561-565, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
- Gencay Ramazan & Stengos Thanasis, 1997.
"Technical Trading Rules and the Size of the Risk Premium in Security Returns,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 2(2), pages 1-14, July.
- Gencay, R & Stengos, T, 1996. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Working Papers 1996-11, University of Guelph, Department of Economics and Finance.
- Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- LeBaron, B., 1992. "Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?," Working papers 9222, Wisconsin Madison - Social Systems.
- Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992.
" Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 47(5), pages 1731-1764, December.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
More about this item
KeywordsTechnical trading rules; Neural network models; Security markets;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-12-14 (All new papers)
- NEP-ETS-1999-12-14 (Econometric Time Series)
- NEP-FIN-1999-12-14 (Finance)
- NEP-IND-1999-12-14 (Industrial Organization)
StatisticsAccess and download statistics
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:fda:fdaddt:99-07. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carmen Arias). General contact details of provider: http://www.fedea.net .