Technical analysis and central bank intervention

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@Article{neely:2001:JIMF,

• author = "Christopher J. Neely and Paul A. Weller",
• title = "Technical analysis and central bank intervention",
• journal = "Journal of International Money and Finance",
• year = "2001",
• volume = "20",
• number = "7",
• pages = "949--970",
• month = dec,
• keywords = "genetic algorithms, genetic programming, Technical analysis, Trading rule, Exchange rate, Central bank, Intervention",
• URL = "http://research.stlouisfed.org/wp/1997/97-002.pdf",
• DOI = "doi:10.1016/S0261-5606(01)00033-X",
• URL = "http://www.sciencedirect.com/science/article/B6V9S-44KKT23-1/2/bb14f001df9abb98399aec02c5eb0ef0",
• abstract = "This paper extends genetic programming techniques to show that US foreign exchange intervention information improves technical trading rules' profitability for two of four exchange rates over part of the out-of-sample period. Rules trade contrary to intervention and are unusually profitable on days prior to intervention, indicating that intervention is intended to halt predictable trends. Intervention seems to be more successful in checking such trends in the out-of-sample (1981-98) period than in the in-sample (1975-80) period. Any improvement in performance results from more precise estimation of the relationship between current and past exchange rates, rather than from information about contemporaneous intervention.",
• notes = "Also available as working paper 1997-002C",

}

Genetic Programming entries for Christopher J Neely Paul A Weller

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