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Citations for "Using genetic algorithms to find technical trading rules"

by Allen, Franklin & Karjalainen, Risto

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  1. Robert Pereira, 1999. "Forecasting Ability but No Profitability: an Empirical Evaluation of Genetic Algorithm-Optimized Technical Trading Rules," Working Papers 1999.06, School of Economics, La Trobe University.
  2. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  3. Feil, Jan-Henning & Musshoff, Oliver, 2013. "Modelling investment and disinvestment decisions under competition, uncertainty and different market interventions," Economic Modelling, Elsevier, vol. 35(C), pages 443-452.
  4. Shangkun Deng & Kazuki Yoshiyama & Takashi Mitsubuchi & Akito Sakurai, 2015. "Hybrid Method of Multiple Kernel Learning and Genetic Algorithm for Forecasting Short-Term Foreign Exchange Rates," Computational Economics, Society for Computational Economics, vol. 45(1), pages 49-89, January.
  5. 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.
  6. 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.
  7. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  8. Simone Cirillo & Stefan Lloyd & Peter Nordin, 2014. "Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series," Papers 1411.2153, arXiv.org.
  9. 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.
  10. Wei, Liang-Ying, 2013. "A hybrid model based on ANFIS and adaptive expectation genetic algorithm to forecast TAIEX," Economic Modelling, Elsevier, vol. 33(C), pages 893-899.
  11. 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.
  12. 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.
  13. Mika Vaihekoski, 2011. "History of financial research and education in Finland," The European Journal of Finance, Taylor & Francis Journals, vol. 17(5-6), pages 339-354.
  14. 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.
  15. 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.
  16. 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.
  17. Bernd Brandl & Christian Keber & Matthias Schuster, 2006. "An automated econometric decision support system: forecasts for foreign exchange trades," 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. 14(4), pages 401-415, December.
  18. 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.
  19. 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.
  20. Neely, Christopher J. & Weller, Paul A., 2001. "Technical analysis and central bank intervention," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 949-970, December.
  21. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Department of Business and Management Science, Norwegian School of Economics.
  22. repec:hhs:bofrdp:2008_018 is not listed on IDEAS
  23. Karolina Safarzyńska & Jeroen Bergh, 2010. "Evolutionary models in economics: a survey of methods and building blocks," Journal of Evolutionary Economics, Springer, vol. 20(3), pages 329-373, June.
  24. Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
  25. 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.
  26. Vaihekoski, Mika, 2008. "History of finance research and education in Finland : the first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
  27. 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.
  28. Feil, Jan-Henning & Mußhoff, Oliver, 2016. "Analysing investment and disinvestment decisions under uncertainty, firm heterogeneity and tradable output permits," DARE Discussion Papers 1602, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
  29. Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003. "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers 0303, Universidade de Vigo, Departamento de Economía Aplicada.
  30. Laura Marta Nuã‘Ez, 2002. "An Analysis Of The Robustness Of Genetic Algorithm (ga) Methodology In The Design Of Trading System," Working Papers Economia wp02-24, Instituto de Empresa, Area of Economic Environment.
  31. Hui Qu & Xindan Li, 2014. "Building Technical Trading System with Genetic Programming: A New Method to Test the Efficiency of Chinese Stock Markets," Computational Economics, Society for Computational Economics, vol. 43(3), pages 301-311, March.
  32. Cyril Schoreels & Jonathan M. Garibaldi, 2006. "Comparative study of central decision makers versus groups of evolved agents trading in equity markets," Computing in Economics and Finance 2006 410, Society for Computational Economics.
  33. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
  34. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, vol. 23(1), pages 122-137.
  35. de Menezes, Lilian M. & Nikolaev, Nikolay Y., 2006. "Forecasting with genetically programmed polynomial neural networks," International Journal of Forecasting, Elsevier, vol. 22(2), pages 249-265.
  36. 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.
  37. 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.
  38. Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," CERBE Working Papers wpC01, CERBE Center for Relationship Banking and Economics.
  39. Laura Marta Nuã‘Ez, 2004. "Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market," Working Papers Economia wp04-03, Instituto de Empresa, Area of Economic Environment.
  40. 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.
  41. Chueh-Yung Tsao, 2010. "Portfolio selection based on the mean-VaR efficient frontier," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 931-945.
  42. Eder Oliveira Abensur, 2007. "Genetic Algorithms for Development of New Financial Products," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(1), pages 59-77.
  43. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  44. Andreas Krause, 2009. "Evaluating the performance of adapting trading strategies with different memory lengths," Papers 0901.0447, arXiv.org.
  45. 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.
  46. 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.
  47. K. Lam & Wei Li, 2004. "Is the ‘Perfect’ Timing Strategy Truly Perfect?," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 39-51, January.
  48. 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.
  49. 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.
  50. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  51. Kampouridis, Michael & Chen, Shu-Heng & Tsang, Edward, 2012. "Market fraction hypothesis: A proposed test," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 41-54.
  52. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
  53. Jin Zhang & Dietmar Maringer, 2016. "Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading," Computational Economics, Society for Computational Economics, vol. 47(4), pages 551-567, April.
  54. 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.
  55. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  56. 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.
  57. Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.
  58. Marcos Alvarez Díaz & Manuel González Gómez, 2003. "Modelización semiparamétrica y validación teórica del método de valoración contingente. Aplicación de un algoritmo genético," Hacienda Pública Española, IEF, vol. 164(1), pages 29-47, march.
  59. Wolbert-Haverkamp, Matthias & Feil, Jan-Henning & Mußhoff, Oliver, 2014. "The value chain of heat production from woody biomass under market competition and different intervention systems: An agent-based real options model," DARE Discussion Papers 1407, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
  60. Pedro N. Rodríguez & Simón Sosvilla-Rivero, 2006. "Using machine learning algorithms to find patterns in stock prices," Working Papers 2006-12, FEDEA.
  61. Kevin Krieger & Nathan Mauck & Denghui Chen, 2012. "VIX changes and derivative returns on FOMC meeting days," Financial Markets and Portfolio Management, Springer, vol. 26(3), pages 315-331, September.
  62. Ghandar, Adam & Michalewicz, Zbigniew & Zurbruegg, Ralf, 2016. "The relationship between model complexity and forecasting performance for computer intelligence optimization in finance," International Journal of Forecasting, Elsevier, vol. 32(3), pages 598-613.
  63. 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.
  64. 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, February.
  65. 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.
  66. Noe, Thomas H. & Rebello, Michael J. & Wang, Jun, 2004. "The Evolution of Security Designs," SIFR Research Report Series 26, Institute for Financial Research.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. 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.
  72. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
  73. Kaucic, Massimiliano, 2010. "Investment using evolutionary learning methods and technical rules," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1717-1727, December.
  74. Manahov, Viktor & Hudson, Robert & Hoque, Hafiz, 2015. "Return predictability and the ‘wisdom of crowds’: Genetic Programming trading algorithms, the Marginal Trader Hypothesis and the Hayek Hypothesis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 85-98.
  75. 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.
  76. 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.
  77. Manahov, Viktor & Hudson, Robert & Linsley, Philip, 2014. "New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 299-316.
  78. 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.
  79. Serge Hayward, 2005. "The Role of Heterogeneous Agents’ Past and Forward Time Horizons in Formulating Computational Models," Computational Economics, Society for Computational Economics, vol. 25(1), pages 25-40, February.
  80. 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.
  81. Noe, Thomas H. & Rebello, Michael & Wang, Jun, 2012. "Learning to bid: The design of auctions under uncertainty and adaptation," Games and Economic Behavior, Elsevier, vol. 74(2), pages 620-636.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.