IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns"

by Brock, W. & Lakonishok, J. & Lebaron, B.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Trifan, Emanuela, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Darmstadt University of Technology, Department of Law and Economics.
  2. Fernando Fernández-Rodríguez & Christian González-Martel & Simón Sosvilla-Rivero, "undated". "Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market," Working Papers 2001-14, FEDEA.
  3. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
  4. Neely, Christopher J. & Weller, Paul A., 1999. "Technical trading rules in the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 429-458.
  5. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  6. Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing value-at-risk methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176.
  8. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  9. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  10. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis.
  11. Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
  12. Tapia, Mikel & Moreno, David & Gil-Bazo, Javier, 2005. "Price dynamics, informational efficiency and wealth distribution in continuous double auction markets," DEE - Working Papers. Business Economics. WB wb057819, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  13. Lönnbark, Carl & Soultanaeva, Albina, 2009. "Profitability of Technical Trading Rules on the Baltic Stock Markets," Umeå Economic Studies 761, Umeå University, Department of Economics.
  14. Mihai Cristian Dinică & Erica Cristina (Balea) Dinică, 2015. "Testing the Weak-Form Market Eficiency of the Euronext Wheat," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(55), pages 25-38, March.
  15. Ahmet Sensoy & Benjamin M. Tabak, 2016. "Dynamic Efficiency of Stock Markets and Exchange Rates," Working Paper 32, Research and Business Development Department, Borsa Istanbul.
  16. Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW).
  17. Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
  18. Menkhoff, Lukas, 2010. "The Use of Technical Analysis by Fund Managers: International Evidence," Hannover Economic Papers (HEP) dp-446, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  19. Bertrand Maillet & Thierry Michel, 2000. "Further Insights on the Puzzle of Technical Analysis Profitability," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308986, HAL.
  20. Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V., 2015. "The benefits of combining seasonal anomalies and technical trading rules," Finance Research Letters, Elsevier, vol. 14(C), pages 36-44.
  21. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
  22. Rosser, J. Jr. & Ahmed, Ehsan & Hartmann, Georg C., 2003. "Volatility via social flaring," Journal of Economic Behavior & Organization, Elsevier, vol. 50(1), pages 77-87, January.
  23. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
  24. Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
  25. Remorov, Alexander, 2015. "Dynamic Trading When You May Be Wrong," MPRA Paper 63964, University Library of Munich, Germany, revised 27 Apr 2015.
  26. Vigfusson, Robert, 1997. "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 291-305, October.
  27. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616.
  28. Pereira, Robert, 1999. "Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules," MPRA Paper 9055, University Library of Munich, Germany.
  29. Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Working Papers in Economics 13/20, University of Canterbury, Department of Economics and Finance.
  30. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
  31. Lubnau, Thorben, 2014. "Spread trading strategies in the crude oil futures market," Discussion Papers 353, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  32. Trifan, Emanuela, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Darmstadt University of Technology, Department of Law and Economics.
  33. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
  34. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
  35. Metghalchi Massoud & Garza-Gomez Xavier, 2011. "Trading Rules for the Abu Dhabi Stock Index," Review of Middle East Economics and Finance, De Gruyter, vol. 7(1), pages 52-66, May.
  36. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
  37. Roy Batchelor & George Albanis, 2002. "Combining Heterogeneous Classifiers for Stock Selection," Working Papers wp02-01, Warwick Business School, Finance Group.
  38. Galimberti, Jaqueson & Suhadolnik, Nicolas & Da Silva, Sergio, 2016. "Cowboying Stock Market Herds with Robot Traders," MPRA Paper 71758, University Library of Munich, Germany.
  39. Cerqueti, Roy & Falbo, Paolo & Guastaroba, Gianfranco & Pelizzari, Cristian, 2013. "A Tabu Search heuristic procedure in Markov chain bootstrapping," European Journal of Operational Research, Elsevier, vol. 227(2), pages 367-384.
  40. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  41. Blanchet-Scalliet, Christophette & Diop, Awa & Gibson, Rajna & Talay, Denis & Tanre, Etienne, 2007. "Technical analysis compared to mathematical models based methods under parameters mis-specification," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1351-1373, May.
  42. David J. Brophy & Paige P. Ouimet & Clemens Sialm, 2004. "PIPE Dreams? The Performance of Companies Issuing Equity Privately," NBER Working Papers 11011, National Bureau of Economic Research, Inc.
  43. Frank Westerhoff, 2001. "Expectations Driven Distortions in the Foreign Exchange Market," CeNDEF Workshop Papers, January 2001 1A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  44. Paresh Kumar Narayan & Seema Narayan & Susan S Sharma, "undated". "An analysis of commodity markets: What gain for investors?," Financial Econometics Series 2013_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  45. Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Financial Time Series Forecasting by Developing a Hybrid Intelligent System," MPRA Paper 45615, University Library of Munich, Germany.
  46. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  47. Mototsugu Shintani & Tomoyoshi Yabu & and Daisuke Nagakura, 2008. "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series 08-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  48. James K. Self, 2006. "Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3153-3174, November.
  49. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, vol. 23(4), pages 405-425, July.
  50. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  51. Kwang-il Choe & Joshua Krausz & Kiseok Nam, 2011. "Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 323-353, April.
  52. Terence Tai-Leung Chong & Sheung Tat Chan, 2008. "Structural Change in the Efficiency of the Japanese Stock Market after the Millennium," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-7.
  53. Shambora, William E. & Rossiter, Rosemary, 2007. "Are there exploitable inefficiencies in the futures market for oil?," Energy Economics, Elsevier, vol. 29(1), pages 18-27, January.
  54. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  55. Hong, KiHoon & Wu, Eliza, 2016. "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 62-75.
  56. William Goetzmann & Evan g. Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm3, Yale School of Management.
  57. Dorfleitner, Gregor & Klein, Christian, 2009. "Psychological barriers in European stock markets: Where are they?," Global Finance Journal, Elsevier, vol. 19(3), pages 268-285.
  58. Leigh, William & Paz, Noemi & Purvis, Russell, 2002. "Market timing: a test of a charting heuristic," Economics Letters, Elsevier, vol. 77(1), pages 55-63, September.
  59. Kung, James J., 2009. "Predictability of Technical Trading Rules: Evidence from the Taiwan Stock Market," Review of Applied Economics, Review of Applied Economics, vol. 5(1-2).
  60. Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.
  61. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  62. Freund, William C. & Larrain, Maurice & Pagano, Michael S., 1997. "Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange," Review of Financial Economics, Elsevier, vol. 6(1), pages 29-56.
  63. M. Hashem Pesaran & Simon M. Potter, 1993. "Equilibrium Asset Pricing Models and Predictability of Excess Returns," UCLA Economics Working Papers 694, UCLA Department of Economics.
  64. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers dp304, Financial Markets Group.
  65. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
  66. Blake LeBaron, "undated". "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
  67. Lu, Tsung-Hsun & Shiu, Yung-Ming & Liu, Tsung-Chi, 2012. "Profitable candlestick trading strategies—The evidence from a new perspective," Review of Financial Economics, Elsevier, vol. 21(2), pages 63-68.
  68. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
  69. Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
  70. Andrew Lo & Harry Mamaysky & Jiang Wang, 1999. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Computing in Economics and Finance 1999 402, Society for Computational Economics.
  71. Ellis, Craig A. & Parbery, Simon A., 2005. "Is smarter better? A comparison of adaptive, and simple moving average trading strategies," Research in International Business and Finance, Elsevier, vol. 19(3), pages 399-411, September.
  72. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  73. M. A. H. Dempster & C. M. Jones, 2002. "Can channel pattern trading be profitably automated?," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 275-301.
  74. Nunez-Letamendia, Laura, 2007. "Fitting the control parameters of a genetic algorithm: An application to technical trading systems design," European Journal of Operational Research, Elsevier, vol. 179(3), pages 847-868, June.
  75. W.A. Brock, C.H. Hommes and F.O.O. Wagener, 2001. "Evolutionary dynamics in financial markets with many trader types," Computing in Economics and Finance 2001 119, Society for Computational Economics.
  76. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
  77. Bell, Peter N, 2013. "New Testing Procedures to Assess Market Efficiency with Trading Rules," MPRA Paper 46701, University Library of Munich, Germany.
  78. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
  79. Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  80. Ma-Ju Wang, 2014. "A Study on the Differences in Adopting Cash Refund Capital Reduction and Stock Repurchase By Companies in Bull and Bear Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(9), pages 1237-1253, September.
  81. Chong, Terence Tai Leung & Poon, Ka-Ho, 2014. "A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns," MPRA Paper 60825, University Library of Munich, Germany.
  82. Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
  83. Chen, Cheng-Wei & Huang, Chin-Sheng & Lai, Hung-Wei, 2009. "The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets," Journal of Asian Economics, Elsevier, vol. 20(5), pages 580-591, September.
  84. Pereira, Pedro L. Valls, 2009. "“Ombro-cabeça-ombro”: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro," Textos para discussão 181, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  85. Julián Andrada-Félix & Fernando Fernández-Rodríguez, 2008. "Improving moving average trading rules with boosting and statistical learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 433-449.
  86. Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
  87. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
  88. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  89. Nikola Gradojevic & Camillo Lento, 2012. "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper Series 31_12, The Rimini Centre for Economic Analysis.
  90. BEN OMRANE, Walid & VAN OPPEN, Hervé, 2004. "The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2004035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  91. F. FernAndez-RodrIguez & S. Sosvilla-Rivero & J. Andrada-FElix, 2003. "Technical analysis in foreign exchange markets: evidence from the EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 113-122.
  92. M. Numan Ünlü, 2008. "Expectations of Professionals in The Turkish Stock Market: a Study of a Monthly Reuters Survey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 22(1+2), pages 1-16.
  93. Stephen Brown & William Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers ysm85, Yale School of Management, revised 01 Apr 2008.
  94. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
  95. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
  96. Raphael Markellos, 2004. "Diversification benefits in trading?," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 13-17.
  97. Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2017. "Relevant states and memory in Markov chain bootstrapping and simulation," European Journal of Operational Research, Elsevier, vol. 256(1), pages 163-177.
  98. Christian Wolff & Ron Jongen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2009. "Dispersion of Beliefs in the Foreign Exchange Market," LSF Research Working Paper Series 09-01, Luxembourg School of Finance, University of Luxembourg.
  99. Zhu, Min & Atri, Said & Yegen, Eyub, 2016. "Are candlestick trading strategies effective in certain stocks with distinct features?," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 116-127.
  100. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
  101. Hommes, C.H., 2006. "Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006," CeNDEF Working Papers 06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  102. Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217.
  103. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  104. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
  105. A. Malliaris & Mary Malliaris, 2014. "N-tuple S&P patterns across decades, 1950–2011," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 339-353, June.
  106. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
  107. Domenico Mignacca & Mauro Gallegati, 1994. "Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals," International Finance 9410002, EconWPA, revised 09 Nov 1994.
  108. Han, Yufeng & Hu, Ting & Yang, Jian, 2016. "Are there exploitable trends in commodity futures prices?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 214-234.
  109. Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
  110. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema & Thuraisamy, Kannan, 2015. "Is Exchange Rate Trading Profitable?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 217-229.
  111. Wang, Shan & Jiang, Zhi-Qiang & Li, Sai-Ping & Zhou, Wei-Xing, 2015. "Testing the performance of technical trading rules in the Chinese markets based on superior predictive test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 114-123.
  112. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  113. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  114. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
  115. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA, June.
  116. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.
  117. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
  118. Scholz, Peter & Walther, Ursula, 2011. "The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant," CPQF Working Paper Series 29, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  119. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  120. Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.
  121. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  122. Mitra, Subrata Kumar & Bawa, Jaslene & Kannadhasan, M. & Goyal, Vinay & Chattopadhyay, Manojit, 2017. "Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?," Finance Research Letters, Elsevier, vol. 20(C), pages 269-273.
  123. Rob Bianchi & Michael E. Drew & John Polichronis, 2004. "A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7," School of Economics and Finance Discussion Papers and Working Papers Series 182, School of Economics and Finance, Queensland University of Technology.
  124. Baptista, Ricardo F. de F. & Valls Pereira, Pedro L., 2008. "Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa
    [Analysis of the performance of Technical Analysis startegies applied to Intr
    ," MPRA Paper 10351, University Library of Munich, Germany.
  125. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA.
  126. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
  127. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14.
  128. Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998.
  129. Khim-Sen Liew & Kian-Ping Lim & Chee-Keong Choong, 2003. "On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models," Finance 0307012, EconWPA.
  130. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
  131. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  132. David Ikenberry & Josef Lakonishok & Theo Vermaelen, 1994. "Market Underreaction to Open Market Share Repurchases," NBER Working Papers 4965, National Bureau of Economic Research, Inc.
  133. Victor Lebreton, 2008. "Le trading algorithmique," Papers 0810.4000, arXiv.org, revised Mar 2009.
  134. Gurdip Bakshi & Dilip Madan, 2006. "A Theory of Volatility Spreads," Management Science, INFORMS, vol. 52(12), pages 1945-1956, December.
  135. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
  136. Yu, Hao & Nartea, Gilbert V. & Gan, Christopher & Yao, Lee J., 2013. "Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 356-371.
  137. repec:wyi:journl:002135 is not listed on IDEAS
  138. Bokhari, Jawaad & Cai, Charlie & Hudson, Robert & Keasey, Kevin, 2005. "The predictive ability and profitability of technical trading rules: does company size matter?," Economics Letters, Elsevier, vol. 86(1), pages 21-27, January.
  139. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  140. Canegrati, Emanuele, 2008. "A Non-Random Walk down Canary Wharf," MPRA Paper 9871, University Library of Munich, Germany.
  141. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
  142. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  143. Hannes Haushofer & Gabriel Moser & Renate Unger, 2005. "Fundamental and Nonfundamental Factors in the Euro/U.S. Dollar Market in 2002 and 2003," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 58-76.
  144. Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012. "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, vol. 169(2), pages 301-309.
  145. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
  146. William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
  147. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08.
  148. Kuang, P. & Schröder, M. & Wang, Q., 2014. "Illusory profitability of technical analysis in emerging foreign exchange markets," International Journal of Forecasting, Elsevier, vol. 30(2), pages 192-205.
  149. Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua, 2014. "Value investing and technical analysis in Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 14-36.
  150. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  151. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
  152. Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003. "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 909-935, April.
  153. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, EconWPA.
  154. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  155. Schich, Sebastian T., 1996. "Alternative Spezifikationen der deutschen Zinsstrukturkurve und ihr Informationsgehalt hinsichtlich der Inflation," Discussion Paper Series 1: Economic Studies 1996,08, Deutsche Bundesbank, Research Centre.
  156. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
  157. Bahram Adrangi & Richard D. Gritta & Kambiz Raffiee, 2013. "Volatility Spillovers and Nonlinear Dynamics between Jet Fuel Prices and Air Carrier Revenue Passenger Miles in the US," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 01-18, August.
  158. Fernando Fernández-Rodríguez & Christian González-Martel* & Simón Sosvilla-Rivero, "undated". "On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market," Working Papers 99-07, FEDEA.
  159. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  160. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
  161. Jukka Ilomäki, 2016. "Risk-Free Rates And Animal Spirits In Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 01-18.
  162. Alexeev, Vitali & Tapon, Francis, 2011. "Testing weak form efficiency on the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 661-691, September.
  163. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
  164. Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg.
  165. Roy L. Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter A. Beling & William T. Scherer, 2016. "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 41-59, January.
  166. Saad, Mohsen & Zantout, Zaher, 2009. "Stock price and systematic risk effects of discontinuation of corporate R&D programs," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 568-581, September.
  167. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," FRB Atlanta Working Paper 2000-11, Federal Reserve Bank of Atlanta.
  168. Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew, 2014. "Revisiting the Performance of MACD and RSI Oscillators," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(1), pages 1-1, February.
  169. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers on International Economics and Finance 00-02, FEDEA.
  170. Hamill, Philip A. & Opong, Kwaku K. & McGregor, Pat, 2002. "Equity option listing in the UK: a comparison of market-based research methodologies," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 91-108, January.
  171. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
  172. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "Technical analysis in the Madrid stock exchange," Working Papers 99-05, FEDEA.
  173. Chang Sheng-Kai, 2014. "Herd behavior, bubbles and social interactions in financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 89-101, February.
  174. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
  175. Shan Wang & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou, 2015. "Testing the performance of technical trading rules in the Chinese market," Papers 1504.06397, arXiv.org.
  176. Ben Marshall & Martin Young & Rochester Cahan, 2008. "Are candlestick technical trading strategies profitable in the Japanese equity market?," Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 191-207, August.
  177. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Can commodity futures be profitably traded with quantitative market timing strategies?," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1810-1819, September.
  178. Zongwu Cai & Jiancheng Jiang & Jingshuang Zhang & Xibin Zhang, 2015. "A new semiparametric test for superior predictive ability," Empirical Economics, Springer, vol. 48(1), pages 389-405, February.
  179. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
  180. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  181. Ahmad, Mashood & Ali, Syed Babar, 2008. "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper 64521, University Library of Munich, Germany.
  182. Cai Zongwu & Chen Linna & Fang Ying, 2012. "A New Forecasting Model for USD/CNY Exchange Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-20, September.
  183. Michael D. McKenzie, 2007. "Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(4), pages 46-73, August.
  184. Antony Jackson & Daniel Ladley, 2013. "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics 13/02, Department of Economics, University of Leicester.
  185. Julián Andrada Félix & Fernando Fernández Rodríguez & María Dolores García Artiles, 2004. "Non-linear trading rules in the New York Stock Exchange," Documentos de trabajo conjunto ULL-ULPGC 2004-05, Facultad de Ciencias Económicas de la ULPGC.
  186. Roberto Mota Navarro & Hern\'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
  187. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
  188. Paul Weller & Christopher Neely, 1999. "Intraday Technical Trading in the Foreign Exchange Market," Working Papers wp99-02, Warwick Business School, Finance Group.
  189. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 209-231, August.
  190. Goldbaum, David, 1999. "A nonparametric examination of market information: application to technical trading rules," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 59-85, January.
  191. Marshall, Ben R. & Young, Martin R. & Rose, Lawrence C., 2006. "Candlestick technical trading strategies: Can they create value for investors?," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2303-2323, August.
  192. Joshua Krausz & Sa-Young Lee & Kiseok Nam, 2009. "Profitability of Nonlinear Dynamics Under Technical Trading Rules: Evidence from Pacific Basin Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(4), pages 13-35, July.
  193. Batchelor, Roy & Kwan, Tai Yeong, 2007. "Judgemental bootstrapping of technical traders in the bond market," International Journal of Forecasting, Elsevier, vol. 23(3), pages 427-445.
  194. Vo, Long H. & Roberts, Leigh, 2014. "On long memory behaviour and predictability of financial markets," Working Paper Series 3361, Victoria University of Wellington, School of Economics and Finance.
  195. Zhu, Hong & Jiang, Zhi-Qiang & Li, Sai-Ping & Zhou, Wei-Xing, 2015. "Profitability of simple technical trading rules of Chinese stock exchange indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 75-84.
  196. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
  197. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
  198. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  199. Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
  200. Marshall, Ben R. & Cahan, Jared M. & Cahan, Rochester H., 2006. "Is the CRISMA technical trading system profitable?," Global Finance Journal, Elsevier, vol. 17(2), pages 271-281, December.
  201. Hartmann, Daniel & Pierdzioch, Christian, 2006. "International Equity Flows and the Predictability of U.S. Stock Returns," MPRA Paper 562, University Library of Munich, Germany, revised Apr 2006.
  202. Park, Cheol-Ho & Irwin, Scott H., 2005. "A Reality Check on Technical Trading Rule Profits in US Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19039, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  203. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  204. Daskalakis, George, 2013. "On the efficiency of the European carbon market: New evidence from Phase II," Energy Policy, Elsevier, vol. 54(C), pages 369-375.
  205. Velimir Šonje & Denis Alajbeg & Zoran Bubas, 2011. "Efficient market hypothesis: is the Croatian stock market as (in)efficient as the U.S. market," Financial Theory and Practice, Institute of Public Finance, vol. 35(3), pages 301-326.
  206. Yung-Ho Chang & Massoud Metghalchi & Chia-Chung Chan, 2006. "Technical trading strategies and cross-national information linkage: the case of Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 731-743.
  207. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
  208. Bohm, Volker & Wenzelburger, Jan, 2005. "On the performance of efficient portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 721-740, April.
  209. Alexandru Todea & Adrian Zoicas-Ienciu & Angela-Maria Filip, 2009. "Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-72.
  210. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
  211. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare
    [The Essentials of the Analysis of Financial Time Series]
    ," MPRA Paper 67175, University Library of Munich, Germany.
  212. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  213. F. Chiaromonte & G. Dosi, 1998. "Modeling a Decentralized Asset Market: An Introduction the Financial "Toy Room"," Working Papers ir98115, International Institute for Applied Systems Analysis.
  214. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  215. Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996. "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers 9625, Wisconsin Madison - Social Systems.
  216. Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao, 2016. "The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan," Finance Research Letters, Elsevier, vol. 18(C), pages 263-272.
  217. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
  218. Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  219. Cars Hommes, 2006. "Interacting Agents in Finance," Tinbergen Institute Discussion Papers 06-029/1, Tinbergen Institute.
  220. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  221. Szakmary, Andrew C. & Shen, Qian & Sharma, Subhash C., 2010. "Trend-following trading strategies in commodity futures: A re-examination," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 409-426, February.
  222. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  223. Plantinga, Andrew J. & Provencher, Bill, 2001. "Internal Consistency In Models Of Optimal Resource Use Under Uncertainty," 2001 Annual meeting, August 5-8, Chicago, IL 20712, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  224. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
  225. Carol L. Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68.
  226. Terence Tai-Leung Chong & Chen Li & Ho Tin Yu, 2008. "Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-6.
  227. Hung-Wei Lai & Cheng-Wei Chen & Chin-Sheng Huang, 2010. "Technical Analysis, Investment Psychology, and Liquidity Provision: Evidence from the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(5), pages 18-38, September.
  228. Shangkun Deng & Akito Sakurai, 2014. "Crude Oil Spot Price Forecasting Based on Multiple Crude Oil Markets and Timeframes," Energies, MDPI, Open Access Journal, vol. 7(5), pages 1-2761, April.
  229. Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014. "Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500," Research Paper Series 344, Quantitative Finance Research Centre, University of Technology, Sydney.
  230. Brock,W.A. & Hommes,C.H., 1998. "Rational animal spirits," Working papers 23, Wisconsin Madison - Social Systems.
  231. repec:ebl:ecbull:v:7:y:2008:i:12:p:1-6 is not listed on IDEAS
  232. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "Moving average rules as a source of market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 12-17.
  233. Stephan Schulmeister, "undated". "Profitability and Price Effects of Technical Currency Trading," WIFO Working Papers 140, WIFO.
  234. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 27(2), pages -, August.
  235. Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming, 2012. "Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 483-496.
  236. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  237. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  238. Michael Youssefmir & Bernardo Huberman & Tad Hogg, 1994. "Bubbles and Market Crashes," Finance 9409001, EconWPA.
  239. Suzanne Fifield & David Power & C. Donald Sinclair, 2005. "An analysis of trading strategies in eleven European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 531-548.
  240. Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Finance Working Papers 22587, East Asian Bureau of Economic Research.
  241. Tzu-Wen Kuo & Shu-Heng Chen,, 2003. "Genetic Programming and International Short-Term Capital Flow," Computing in Economics and Finance 2003 74, Society for Computational Economics.
  242. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
  243. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  244. Cialenco, Igor & Protopapadakis, Aris, 2011. "Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 176-206, April.
  245. Bertrand Maillet & Thierry Michel, 2005. "Technical analysis profitability when exchange rates are pegged: A note," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 463-470.
  246. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, October.
  247. Stephen Taylor, 2000. "Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 39-69.
  248. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  249. Joel Lander & Athanasios Orphanides & Martha Douvogiannis, "undated". "Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P;," Finance and Economics Discussion Series 1997-06, Board of Governors of the Federal Reserve System (U.S.).
  250. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  251. Hoffmann, Arvid O.I. & Shefrin, Hersh, 2014. "Technical analysis and individual investors," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 487-511.
  252. Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016. "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 146-169, December.
  253. Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015. "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series 362, Quantitative Finance Research Centre, University of Technology, Sydney.
  254. repec:asi:ajoerj:2013:p:763-774 is not listed on IDEAS
  255. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank, Research Centre.
  256. G. Caginalp & H. Laurent, 1998. "The predictive power of price patterns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 181-205.
  257. Parisi, Franco & Vasquez, Alejandra, 2000. "Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile," Emerging Markets Review, Elsevier, vol. 1(2), pages 152-164, September.
  258. Shareen Joshi & Jeffrey Parker & Mark A. Bedau, 1998. "Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model," Research in Economics 98-12-115e, Santa Fe Institute.
  259. Luc Savard, 2010. "Scaling up Infrastructure spending in the Philippines: A CGE top-down/bottom up microsimulation approach," Cahiers de recherche 10-06, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
  260. Mitra, S.K. & Bawa, Jaslene, 2017. "Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 124-135.
  261. Lubnau, Thorben & Todorova, Neda, 2015. "Trading on mean-reversion in energy futures markets," Energy Economics, Elsevier, vol. 51(C), pages 312-319.
  262. L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.
  263. Margherita Velucchi, 2009. "Regime switching: Italian financial markets over a century," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 67-86, March.
  264. Neely, Christopher J., 2003. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 69-87.
  265. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
  266. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  267. Serafini, Daniel Guedine & Pereira, Pedro L. Valls, 2010. "Sistemas técnicos de trading no mercado de ações brasileiro: testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se a análise técnica agrega valor," Textos para discussão 260, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  268. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  269. Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," MPRA Paper 45977, University Library of Munich, Germany.
  270. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  271. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-428.
  272. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  273. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 347-359, October.
  274. Pierre Bajgrowicz & Olivier Scaillet, 2007. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
  275. Ni, Yensen & Liao, Yi-Ching & Huang, Paoyu, 2015. "MA trading rules, herding behaviors, and stock market overreaction," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 253-265.
  276. Hüsler, A. & Sornette, D. & Hommes, C.H., 2013. "Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price," Journal of Economic Behavior & Organization, Elsevier, vol. 92(C), pages 304-316.
  277. Fang, Yue & Xu, Daming, 2003. "The predictability of asset returns: an approach combining technical analysis and time series forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 369-385.
  278. Chang, Sheng-Kai, 2007. "A simple asset pricing model with social interactions and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1300-1325, April.
  279. Bahram Adrangi & Mary E. Allender & Kambiz Raffiee, 2011. "Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-16, April.
  280. Lu, Tsung-Hsun & Chen, Yi-Chi & Hsu, Yu-Chin, 2015. "Trend definition or holding strategy: What determines the profitability of candlestick charting?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 172-183.
  281. Didenko Alexander & Demicheva Svetlana, 2013. "Application of Ensemble Learning for views generation in Meucci portfolio optimization framework," Review of Business and Economics Studies, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1, pages 100-110.
  282. Saacke, Peter, 2002. "Technical analysis and the effectiveness of central bank intervention," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 459-479, August.
  283. Martin Scholtus & Dick van Dijk, 2012. "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers 12-018/4, Tinbergen Institute.
  284. Atanasova, Christina V. & Hudson, Robert S., 2010. "Technical trading rules and calendar anomalies -- Are they the same phenomena?," Economics Letters, Elsevier, vol. 106(2), pages 128-130, February.
  285. Roy Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter Beling & William Scherer, 2016. "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 41-59, January.
  286. A. Borodin & R. El-Yaniv & V. Gogan, 2011. "Can We Learn to Beat the Best Stock," Papers 1107.0036, arXiv.org.
  287. repec:hal:journl:hal-00332823 is not listed on IDEAS
  288. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2004.05, Institut d'Economie et Econométrie, Université de Genève.
  289. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  290. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  291. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  292. David Goldbaum, 2003. "Profitable technical trading rules as a source of price instability," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 220-229.
  293. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  294. Carine Brasseur & Marcelo Espinoza & Johan A. K. Suykens & Tony Van Gestel & Bart Baesens & Bart De Moor, 2006. "A Bayesian nonlinear support vector machine error correction model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 77-100.
  295. L. Ingber & R.P. Mondescu, 2001. "Optimization of trading physics models of markets," Lester Ingber Papers 01ot, Lester Ingber.
  296. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  297. Bin, Liu, 2015. "A new risk measure and its application in portfolio optimization: The SPP–CVaR approach," Economic Modelling, Elsevier, vol. 51(C), pages 383-390.
  298. Mordecai Kurz, 1997. "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers 97026, Stanford University, Department of Economics.
  299. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
  300. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  301. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
  302. Detollenaere, Benoit & Mazza, Paolo, 2014. "Do Japanese candlesticks help solve the trader’s dilemma?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 386-395.
  303. Ana Rita Gonzaga & Helder Sebastião, 2011. "As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação," GEMF Working Papers 2012-02, GEMF, Faculty of Economics, University of Coimbra.
  304. Ratner, Mitchell & Leal, Ricardo P. C., 1999. "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1887-1905, December.
  305. Hannah Thinyane & Jonathan Millin, 2011. "An Investigation into the Use of Intelligent Systems for Currency Trading," Computational Economics, Springer;Society for Computational Economics, vol. 37(4), pages 363-374, April.
  306. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
  307. Dewachter, Hans & Lyrio, Marco, 2006. "The cost of technical trading rules in the Forex market: A utility-based evaluation," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
  308. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
  309. Walid Omrane & Hervé Oppens, 2006. "The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market," Empirical Economics, Springer, vol. 30(4), pages 947-971, January.
  310. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  311. Qi Zhang & Charlie Cai & Kevin Keasey, 2014. "The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 605-625, October.
  312. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March.
  313. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  314. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
  315. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  316. Emmanuel Acar & Stephen Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 165-180.
  317. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, vol. 59(1), pages 49-63, April.
  318. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.
  319. Hudson, Robert & Dempsey, Michael & Keasey, Kevin, 1996. "A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1121-1132, July.
  320. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge.
  321. Harris, Richard D.F. & Yilmaz, Fatih, 2009. "A momentum trading strategy based on the low frequency component of the exchange rate," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1575-1585, September.
  322. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
  323. David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics.
  324. John Anderson, 2003. "A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads," School of Economics and Finance Discussion Papers and Working Papers Series 134, School of Economics and Finance, Queensland University of Technology.
  325. Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.
  326. Gradojevic, Nikola, 2007. "Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 557-574, February.
  327. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 41-57, January.
  328. Lu, Tsung-Hsun, 2014. "The profitability of candlestick charting in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 65-78.
  329. Philippe Mathieu & Olivier Brandouy, 2006. "A Broad-Spectrum Computational Approach for Market Efficiency," Post-Print hal-00731962, HAL.
  330. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2014. "Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 411-424.
  331. repec:ebl:ecbull:v:7:y:2008:i:7:p:1-7 is not listed on IDEAS
  332. A. Sensoy & Benjamin Miranda Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
  333. P. Lequeux & E. Acar, 1998. "A dynamic index for managed currencies funds using CME currency contracts," The European Journal of Finance, Taylor & Francis Journals, vol. 4(4), pages 311-330.
  334. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  335. Richard M. Levich & Lee R. Thomas, 1991. "The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach," NBER Working Papers 3818, National Bureau of Economic Research, Inc.
  336. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
  337. Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
  338. William Wai Him Tsang & Terence Tai Leung Chong, 2009. "Profitability of the On-Balance Volume Indicator," Economics Bulletin, AccessEcon, vol. 29(3), pages 2424-2431.
  339. Fang, Jiali & Jacobsen, Ben & Qin, Yafeng, 2014. "Predictability of the simple technical trading rules: An out-of-sample test," Review of Financial Economics, Elsevier, vol. 23(1), pages 30-45.
  340. Groenewold, Nicolaas & Kan Tang, Sam Hak & Wu, Yanrui, 2008. "The profitability of regression-based trading rules for the Shanghai stock market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 411-430.
  341. Cyree, Ken B. & Domian, Dale L. & Louton, David A. & Yobaccio, Elizabeth J., 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, Elsevier, vol. 8(1), pages 73-91, June.
  342. Colin Fyfe & John Paul Marney & Heather Tarbert, 2005. "Risk adjusted returns from technical trading: a genetic programming approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1073-1077.
  343. Ming-Ming, Lai & Siok-Hwa, Lau, 2006. "The profitability of the simple moving averages and trading range breakout in the Asian stock markets," Journal of Asian Economics, Elsevier, vol. 17(1), pages 144-170, February.
  344. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1089-1100, June.
  345. Kaucic, Massimiliano, 2010. "Investment using evolutionary learning methods and technical rules," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1717-1727, December.
  346. Mariano Matilla-Garcia & Carlos Arguello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 303-308.
  347. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  348. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186 Elsevier.
  349. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
  350. Hao-Che Chen, 2014. "Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis," Papers 1410.7961, arXiv.org.
  351. Qian, Hang, 2009. "Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data," MPRA Paper 31509, University Library of Munich, Germany.
  352. Dan Anghel, 2013. "How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 089-115, December.
  353. Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May.
  354. Kwon, Ki-Yeol & Kish, Richard J., 2002. "A comparative study of technical trading strategies and return predictability: an extension of Brock, Lakonishok, and LeBaron (1992) using NYSE and NASDAQ indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 611-631.
  355. Barbara Summers & Evan Griffiths & Robert Hudson, 2004. "Back to the future: an empirical investigation into the validity of stock index models over time," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 209-214.
  356. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  357. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.
  358. Hong Zhu & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou, 2015. "Profitability of simple technical trading rules of Chinese stock exchange indexes," Papers 1504.04254, arXiv.org.
  359. Marshall, Ben R. & Cahan, Rochester H., 2005. "Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?," Research in International Business and Finance, Elsevier, vol. 19(3), pages 384-398, September.
  360. Alexandros E. Milionis & Evangelia Papanagiotou, 2008. "A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets," Working Papers 91, Bank of Greece.
  361. Francesca Chiaromonte & Giovanni Dosi, 1999. "Modeling a Decentralized Asset Market: An Introduction to the Financial "Toy-Room"," LEM Papers Series 1999/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  362. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July.
  363. Andreas Lindemann & Christian L. Dunis & Paulo Lisboa, 2005. "Extending the variance ratio test to visualize structure in data: an application to the S&P 100 Index," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 189-197, May.
  364. Lien, Donald & Yang, Li, 2008. "Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 187-198, February.
  365. Frank H. Westerhoff, 2006. "Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 227-244.
  366. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  367. Cui, Ling-xiao & Long, Wen, 2016. "Trading strategy based on dynamic mode decomposition: Tested in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 498-508.
  368. Papailias, Fotis & Thomakos, Dimitrios D., 2015. "An improved moving average technical trading rule," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 458-469.
  369. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
  370. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  371. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
  372. Nam, Kiseok & Washer, Kenneth M. & Chu, Quentin C., 2005. "Asymmetric return dynamics and technical trading strategies," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 391-418, February.
  373. Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
  374. Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
  375. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
  376. Tabak, Benjamin M. & Lima, Eduardo J.A., 2009. "Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules," European Journal of Operational Research, Elsevier, vol. 194(3), pages 814-820, May.
  377. Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2012. "A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping," Working Papers 67-2012, Macerata University, Department of Finance and Economic Sciences, revised Nov 2012.
  378. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
  379. Tezel, Ahmet & McManus, Ginette, 2001. "Evaluating a stock market timing strategy: the case of RTE Asset Management," Financial Services Review, Elsevier, vol. 10(1-4), pages 173-186.
  380. Batten, Jonathan & Ellis, Craig, 1996. "Fractal structures and naive trading systems: Evidence from the spot US dollar/Japanese yen," Japan and the World Economy, Elsevier, vol. 8(4), pages 411-421, December.
  381. Chenyang Feng & Stephen D. Smith, 1997. "Jump risk, time-varying risk premia, and technical trading profits," FRB Atlanta Working Paper 97-17, Federal Reserve Bank of Atlanta.
  382. Juan Benjamín Duarte Duarte & Katherine Julieth Sierra Suárez & Víctor Alfonso Rueda Ortiz, 2015. "Análisis comparativo de eficiencia entre Brasil, México y Estados Unidos," REVISTA FINANZAS Y POLÍTICA ECONÓMICA, UNIVERSIDAD CATOLICA DE COLOMBIA, vol. 7(1), pages 341-357, July.
  383. Hans Dewachter, 1997. "Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 39-55, March.
  384. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
  385. Hatgioannides, John & Mesomeris, Spyros, 2007. "On the returns generating process and the profitability of trading rules in emerging capital markets," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 948-973, October.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.