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

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

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  1. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  2. Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," KIER Working Papers 869, Kyoto University, Institute of Economic Research.
  3. 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.
  4. 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.
  5. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001. "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers 01-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. 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.
  7. Hans Dewachter, 1997. "Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 39-55, March.
  8. Lönnbark, Carl & Soultanaeva, Albina, 2009. "Profitability of Technical Trading Rules on the Baltic Stock Markets," Umeå Economic Studies 761, Umeå University, Department of Economics.
  9. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
  10. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
  11. 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.
  12. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 467-488, April.
  13. 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.
  14. 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," Working Paper 2000-11, Federal Reserve Bank of Atlanta.
  15. Menkhoff, Lukas, 2010. "The Use of Technical Analysis by Fund Managers: International Evidence," Hannover Economic Papers (HEP) dp-446, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  16. Fabian Baetje & Lukas Menkhoff, 2015. "Equity Premium Prediction: Are Economic and Technical Indicators Instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy.
  17. Guedine Serafine, Daniel & Pereira, Pedro Luiz 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).
  18. Hommes, C.H., 2000. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  19. 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.
  20. 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.
  21. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  22. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA.
  23. 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.
  24. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  25. 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-.
  26. LeBaron, B., 1991. "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers 9118, Wisconsin Madison - Social Systems.
  27. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
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  29. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc.
  30. 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.
  31. 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.
  32. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  33. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
  34. 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.
  35. Westerhoff, Frank H., 2003. "Expectations driven distortions in the foreign exchange market," Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 389-412, July.
  36. Olivier Brandouy & Philippe Mathieu, 2006. "A Broad-Spectrum Computational Approach for Market Efficiency," Computing in Economics and Finance 2006 492, Society for Computational Economics.
  37. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
  38. 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.
  39. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
  40. Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm26, Yale School of Management.
  41. 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.
  42. 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.
  43. Hannah Thinyane & Jonathan Millin, 2011. "An Investigation into the Use of Intelligent Systems for Currency Trading," Computational Economics, Society for Computational Economics, vol. 37(4), pages 363-374, April.
  44. 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.
  45. 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.
  46. Ikenberry, David & Lakonishok, Josef & Vermaelen, Theo, 1995. "Market underreaction to open market share repurchases," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 181-208.
  47. Pereira, Pedro Luiz 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).
  48. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
  49. Paresh Kumar Narayan & Seema Narayan & Susan S Sharma, . "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.
  50. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
  51. 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.
  52. 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.
  53. 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.
  54. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  55. 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.
  56. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
  57. 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.
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  59. Pei Kuang & M. Schröder & Q. Wang, 2013. "Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets," CDMA Working Paper Series 201302, Centre for Dynamic Macroeconomic Analysis.
  60. 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.
  61. 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.
  62. 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.
  63. 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.
  64. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
  65. 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.
  66. 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.
  67. Robert Vigfusson, 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Finance 9602003, EconWPA.
  68. 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.
  69. 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.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Working Papers 99-05, FEDEA.
  82. 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.
  83. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  84. 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.
  85. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  86. 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.
  87. 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.
  88. 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).
  89. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  90. 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.
  91. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis.
  92. Michael Youssefmir & Bernardo Huberman & Tad Hogg, 1994. "Bubbles and Market Crashes," Finance 9409001, EconWPA.
  93. Victor Lebreton, 2008. "Le trading algorithmique," Papers 0810.4000, arXiv.org, revised Mar 2009.
  94. Skouras, Spyros, 2007. "Decisionmetrics: A decision-based approach to econometric modelling," Journal of Econometrics, Elsevier, vol. 137(2), pages 414-440, April.
  95. Stephan Schulmeister, 2008. "Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?," WIFO Working Papers 323, WIFO.
  96. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, EconWPA.
  97. Andreas H\"usler & Didier Sornette & Cars H. Hommes, 2012. "Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price," Papers 1205.0635, arXiv.org.
  98. Dorfleitner, Gregor & Klein, Christian, 2009. "Psychological barriers in European stock markets: Where are they?," Global Finance Journal, Elsevier, vol. 19(3), pages 268-285.
  99. 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), August.
  100. Margherita Velucchi, 2007. "Regime Switching: Italian Financial Markets over a Century," Econometrics Working Papers Archive wp2007_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  101. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
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  103. Fischer, Thomas, 2011. "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Darmstadt Discussion Papers in Economics 54196, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  104. 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.
  105. 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.
  106. 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," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE.
  107. 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.
  108. Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012. "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, vol. 169(2), pages 301-309.
  109. 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.
  110. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  111. 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.
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  113. 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
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  123. 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.
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  126. 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.
  127. 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.
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  129. 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 1-12, February.
  130. 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.
  131. 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.
  132. 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.
  133. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
  134. 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.
  135. 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.
  136. 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.
  137. Fernando Fernández-Rodríguez & Christian González-Martel & Simón Sosvilla-Rivero, . "Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market," Working Papers 2001-14, FEDEA.
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  276. 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.
  277. 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.
  278. 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.
  279. 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.
  280. 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.
  281. 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.
  282. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
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  284. 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.
  285. 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.
  286. 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.
  287. 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.
  288. 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.
  289. 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.
  290. 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.
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  292. 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.
  293. 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.
  294. 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 2761-2779, April.
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  298. Hao-Che Chen, 2014. "Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis," Papers 1410.7961, arXiv.org.
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  301. Raphael Markellos, 2004. "Diversification benefits in trading?," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 13-17.
  302. 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.
  303. 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.
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  305. Carol 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.
  306. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
  307. 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.
  308. 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.
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  310. 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.
  311. 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.
  312. 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.
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  314. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.