文档介绍：WORKING PAPER SERIES
Is Technical Analysis in the Foreign Exchange Market Profitable?
A ic Programming Approach
Christopher Neely, Paul Weller
and Robert Dittmar
Working Paper 1996-006C
http://research./wp/1996/96-
PUBLISHED: Journal of Financial and Quantitative Analysis, December 1997.
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Photo courtesy of The Gateway Arch, St. Louis, MO.
Is Technical Analysis in the Foreign Exchange Market Profitable?
A ic Programming Approach
Chris Neely*
Paul Weller†
Rob Dittmar**
Original Version: June 7, 1996
Current Version: August 26, 1997
* Economist, Research Department
Federal Reserve Bank of St. Louis
St. Louis, MO 63011
(314) 444-8568 (o), (314) 444-8731 (f), ******@stls.
† Professor, Department of Finance
College of Business Administration, University of Iowa.
Iowa City, IA 52240
(319) 335-1017 (o), (319) 335-3690 (f), Paul-******@
** Mathematician, Research Department
Federal Reserve Bank of St. Louis
St. Louis, MO 63011
(314) 444-8592 (o), ******@stls.
Primary Subject Code: G0 - Financial Economics
Secondary Subject Code: G14 - Information and Market Efficiency
Keywords: technical analysis, ic programming, trading rules, exchange rates,
bootstrapping
The authors would like to thank Kent