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| Author: | Neely, C. Weller, P. |
| Title: | Technical trading rules in the European Monetary System |
| Journal: | Journal of International Money and Finance
1999 : JUN, VOL. 18:3, p. 429-458 |
| Index terms: | TRADE EUROPEAN MONETARY SYSTEM INTERNATIONAL |
| Language: | eng |
| Abstract: | Using genetic programming, the authors find trading rules that generate significant excess returns for three of four EMS exchange rates over the out-of-sample period 1986-1996. Permitting the rules to use information about the interest rate differential proved to be important. The reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability. The results cannot be duplicated by commonly used moving average rules, filter rules or by two rules designed to exploit known features of target zone rates. |
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