G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1492
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
URLhttps://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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