| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1492 |
| DP1492 The Time-varying NAIRU and its Implications for Economic Policy | |
| Robert J. Gordon | |
| 发表日期 | 1996-10-31 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | We use genetic programming techniques to identify optimal technical trading rules. We find strong evidence of economically significant out-of-sample excess returns to the rules for each of six exchange rates ($/DM, $/Yen, $/SF, $/£, DM/Yen, SF/£), over the period 1981?95. Some of the rules have a structure similar to those used by technical analysts. Betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk. ?Bootstrapping? results for the $/DM indicate that the trading rules are detecting patterns in the data that are not captured by standard statistical models. |
| 主题 | Financial Economics |
| 关键词 | Exchange rates Genetic programming Technical trading rules |
| URL | https://cepr.org/publications/dp1492 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530635 |
| 推荐引用方式 GB/T 7714 | Robert J. Gordon. DP1492 The Time-varying NAIRU and its Implications for Economic Policy. 1996. |
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