What does genetic programming teach us about the foreign exchange market ?. Chris Neely* Paul Weller † Rob Dittmar** December 1-2, 1998 * Economist, Federal Reserve Bank of St. Louis † Professor, Department of Finance, University of Iowa
Paul Weller †
December 1-2, 1998
* Economist, Federal Reserve Bank of St. Louis
† Professor, Department of Finance, University of Iowa
** Scientific Programmer, Federal Reserve Bank of St. Louis
Disclaimer exchange market ?
The views expressed are my own and do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, or the Federal Reserve System.
I) Broad overview of an ongoing project
II) Foreign exchange market efficiency and technical analysis
III) What is genetic programming?
IV) Results from dollar exchange rates
V) Results from the European Monetary System
VI) Results using Federal Reserve Intervention
VII) Work in Progress
B) Results from portfolio rules on ERM data System” -- Neely and Weller (1998)
F) How do we explain the failure of intervention information to improve returns?
1) A structural break in the CBI data generation process?
A) The success of TA presents a puzzle to the EMH; the success of GP deepens this puzzle because GP provides a true, ex ante test of technical trading rules.
B) There has been work on institutional constraints that may explain some lack of risk arbitrage.
C) There has been additional work on behavioral finance as a result of the success of TA.
D) The success of TA underscores our need for a better understanding of risk.
The End result of the success of TA.