The adaptive markets hypothesis
Subtitle: evidence from the foreign exchange market
By: by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich
Contributors: Weller, Paul A.; Ulrich, Joshua M.; Federal Reserve Bank of St. Louis
Series: Working paper -- 2006-046A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2006-046A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2006
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] :
Description: "We analyze the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules.  The excess returns of the 1970s and 1980s were genuine and not just the result of data mining.  But these profit opportunities had disappeared by the mid-1990s for filter and moving average (MA) rules.  Returns to less-studied rules, such as channel, ARIMA, genetic programming and Markov rules, also have declined, but have probably not completely disappeared.  The volatility of returns makes it difficult to estimate mean returns precisely.  The most likely time for a structural break in the MA and filter rule returns is the early 1990s.  These regularities are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Markets Hypothesis"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 8/7/2006.

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