Nothing Special   »   [go: up one dir, main page]
create a website
Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J.
In: Econometric Institute Research Papers.
RePEc:ems:eureir:110015.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. .

    Full description at Econpapers || Download paper

  2. The Odds of Profitable Market Timing. (2021). Ghezzi, Luca ; Buzzacchi, Luigi.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:250-:d:568685.

    Full description at Econpapers || Download paper

  3. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Ilomäki, Jukka ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

    Full description at Econpapers || Download paper

  4. Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Ilomäki, Jukka ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360.

    Full description at Econpapers || Download paper

  5. Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:111616.

    Full description at Econpapers || Download paper

  6. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:111556.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules. Journal of Financial Economics, 51, 245-271.

  2. Ang, A., Hodrick, R., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics, 61, 1-23.

  3. Baker, M., & Wurgler, J. (2015). Do strict requirements raise the cost of capital? Bank regulation, capital structure, and the low-risk anomaly. American Economic Review: Papers & Proceedings, 105, 315-320.

  4. Baker, M., Bradley, B., & Taliaferro, R. (2014). The Low-risk anomaly: a decomposition into micro and macro effects. Financial Analysts Journal, 70, 45-58.
    Paper not yet in RePEc: Add citation now
  5. Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmark as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal, 67, 1-15.
    Paper not yet in RePEc: Add citation now

  6. Bali, T., Cakici, N., & Whitelaw, R. (2011). Maxing out: stock as lotteries and the crosssection of expected returns. Journal of Financial Economics, 99, 427-446.

  7. Barberis, N. & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98, 2066-2100.

  8. Ben-David, I., Graham, J., & Harvey, C. (2013). Managerial miscalibration. Quarterly Journal of Economics, 128, 1547-1584.

  9. Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45, 444-455.

  10. Black, F., Jensen, M., & Scholes, M. (1972). The capital asset market model: some empirical tests. In: M. Jensen (Eds.), Studies in the theory of capital markets (pp. 79-121).
    Paper not yet in RePEc: Add citation now
  11. Brown, D., & Jennings, R. (1989). On technical analysis. Review of Financial Studies, 2, 527-551.
    Paper not yet in RePEc: Add citation now

  12. Campbell, J., & Cochrane, J. (1999). By force of habit: Consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107, 205-251.

  13. Cochrane, J. (2008). The dog that did not bark: A defense of return predictability. Review of Financial Studies, 21, 1533-1573.

  14. Daniel, K., & Titman, S. (2006). Market reactions to tangible and intangible information.

  15. Fama, E. (1972). Components on investment performance. Journal of Finance, 27, 551568.

  16. Fama, E. (2014). Two pillars of asset pricing. American Economic Review, 104, 1467-1485.

  17. Frazzini, A., & Pedersen, L. (2014). Betting against betas. Journal of Financial Economics, 111, 1-25.
    Paper not yet in RePEc: Add citation now

  18. Friesen, G., & Sapp, T. (2007). Mutual fund flows and investor returns: An empirical examination of fund investor timing ability. Journal of Banking and Finance, 31, 27962816.

  19. Gartley, H. (1935). Profits in the Stock Markets. Washington: Lambert-Gann Publishing.
    Paper not yet in RePEc: Add citation now

  20. Henriksson, R., & Merton R., (1981). On market timing and investment performance II: Statistical procedures for evaluating forecasting skills. Journal of Business, 54, 513-533.

  21. Hong, H., & Sraer, D., (2016). Speculative betas. Journal of Finance, 71, 2095-2144. 20 Jagannathan, R., Korajczyk, R. (2017), Market timing. In: Guerard, Portfolio Construction, Measurement and Efficiency, Springer International Publishing Switzerland, 49-71.

  22. Jegadeesh, N., Titman, S. (1993), Returns to buying winners selling losers: Implications for stock market efficiency, Journal of Finance 48: 65-91.

  23. Kahneman, D., Tversky, A. (1974), Judgement under uncertainty: Heuristics and biases, Science 185: 1124-1131.
    Paper not yet in RePEc: Add citation now

  24. Kim, A., Tse, Y., Wald, J. (2016), Time series momentum and volatility scaling, Journal of Financial Markets 30, 103-124.

  25. Kumar, A. (2009), Who gambles in the stock markets? Journal of Finance 64: 1889-1933.

  26. LeRoy, S. (1973), Risk aversion and the martingale property of stock prices, International Economic Review 14: 436-446.

  27. Li, X., Sullivan, R., Garcia-Feijoo, L. (2016), The low-volatility anomaly: Market evidence on systematic risk vs. mispricing, Financial Analysts Journal 72: 36-47.
    Paper not yet in RePEc: Add citation now
  28. Lintner, J. (1965), The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
    Paper not yet in RePEc: Add citation now

  29. Lo, A., Mamaysky, H., Wang, J. (2000), Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation, Journal of Finance 54: 1705-1770.

  30. Lucas, R. (1978), Asset prices in an exchange economy, Econometrica 46: 1429-1445.

  31. Malkiel, B. (2003), The efficient market hypothesis and its critics, Journal of Economic Perspectives 17: 59-82. 21 Marshall, B., Nguyen, N., Visaltanachoti, N. (2017), Time series momentum and moving average trading rules, Quantitative Finance 17: 405-421.

  32. Markowitz, H. (1952), Portfolio selection, Journal of Finance 7: 77-91.
    Paper not yet in RePEc: Add citation now

  33. Merton, R. (1981), On market timing and investment performance. I. An equilibrium theory of value for market forecast, Journal of Business 54: 363-406.

  34. Moskowitz, T., Ooi, Y., Pedersen, L. (2012), Time series momentum, Journal of Financial Economics 104: 228-250.

  35. Munoz, F., Vicente, R. (2018), Hindsight effect: What are actual cash flow timing skills of mutual fund investors?, Journal of Empirical Finance 45: 181-193.

  36. Neely, C., Rapach, D., Tu, J., Zhou, G. (2014), Forecasting equity risk premium: The role of technical indicators, Management Science 66: 1772-1791.

  37. New York: Praeger. 19 Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47, 1731-1764.

  38. Samuelson, P. (1998), Summing up on business cycles: Opening address, in Beyond Shocks; What Causes Business Cycles? Edited by J. Fuhrer and S. Schuh, Boston: Federal Reserve Bank of Boston.
    Paper not yet in RePEc: Add citation now

  39. Sharpe, W. (1964), Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19: 425-442.

  40. Sullivan, R., Timmermann, A., White, H. (1999), Data-snooping, technical trading rule performance and the bootstrap, Journal of Finance 53: 1647-1691.

  41. Tobin, J. (1958), Liquidity preference as behavior towards risk, Review of Economic Studies 67: 65-86.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Profitability of time series momentum. (2015). Li, Kai ; He, Xuezhong.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:53:y:2015:i:c:p:140-157.

    Full description at Econpapers || Download paper

  2. How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?. (2013). Anghel, Dan .
    In: The Review of Finance and Banking.
    RePEc:rfb:journl:v:05:y:2013:i:2:p:089-115.

    Full description at Econpapers || Download paper

  3. A hybrid model based on ANFIS and adaptive expectation genetic algorithm to forecast TAIEX. (2013). Wei, Liang-Ying .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:893-899.

    Full description at Econpapers || Download paper

  4. The information content of a limit order book: The case of an FX market. (2012). Kozhan, Roman ; Salmon, Mark .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:1:p:1-28.

    Full description at Econpapers || Download paper

  5. Market fraction hypothesis: A proposed test. (2012). Chen, Shu-Heng ; Tsang, Edward ; Kampouridis, Michael.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:23:y:2012:i:c:p:41-54.

    Full description at Econpapers || Download paper

  6. Is the Chinese stock market really inefficient?. (2012). CHONG, Terence Tai Leung ; Yan, Isabel Kit-Ming ; Lam, Tau-Hing.
    In: China Economic Review.
    RePEc:eee:chieco:v:23:y:2012:i:1:p:122-137.

    Full description at Econpapers || Download paper

  7. History of financial research and education in Finland. (2011). Vaihekoski, Mika.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:17:y:2011:i:5-6:p:339-354.

    Full description at Econpapers || Download paper

  8. Is the Chinese Stock Market Really Efficient. (2011). CHONG, Terence Tai Leung ; Yan, Isabel K. ; Lam, Tau-Hing.
    In: MPRA Paper.
    RePEc:pra:mprapa:35219.

    Full description at Econpapers || Download paper

  9. Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability. (2011). Isakov, Dusan ; Marti, Didier .
    In: FSES Working Papers.
    RePEc:fri:fribow:fribow00421.

    Full description at Econpapers || Download paper

  10. Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies. (2011). Protopapadakis, Aris ; Cialenco, Igor.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:2:p:176-206.

    Full description at Econpapers || Download paper

  11. Portfolio selection based on the mean-VaR efficient frontier. (2010). Tsao, Chueh-Yung.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:8:p:931-945.

    Full description at Econpapers || Download paper

  12. Evolutionary models in economics: a survey of methods and building blocks. (2010). van den Bergh, Jeroen ; Safarzynska, Karolina ; Safarzyska, Karolina.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:20:y:2010:i:3:p:329-373.

    Full description at Econpapers || Download paper

  13. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules. (2010). Zhou, Guofu ; Tu, Jun ; Neely, Christopher ; Rapach, David E..
    In: Working Papers.
    RePEc:fip:fedlwp:2010-008.

    Full description at Econpapers || Download paper

  14. Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias. (2010). Kuan, Chung-Ming ; HSU, Po-Hsuan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:3:p:471-484.

    Full description at Econpapers || Download paper

  15. Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy. (2009). Pavlov, Vlad ; Hurn, Stan.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2009_65.

    Full description at Econpapers || Download paper

  16. Technical analysis: An asset allocation perspective on the use of moving averages. (2009). Zhou, Guofu ; Zhu, Yingzi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:3:p:519-544.

    Full description at Econpapers || Download paper

  17. Price trends and patterns in technical analysis: A theoretical and empirical examination. (2009). Friesen, Geoffrey C. ; Weller, Paul A. ; Dunham, Lee M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:6:p:1089-1100.

    Full description at Econpapers || Download paper

  18. Evaluating the performance of adapting trading strategies with different memory lengths. (2009). Krause, Andreas.
    In: Papers.
    RePEc:arx:papers:0901.0447.

    Full description at Econpapers || Download paper

  19. Does intraday technical analysis in the U.S. equity market have value?. (2008). Marshall, Ben ; Cahan, Rochester H..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:199-210.

    Full description at Econpapers || Download paper

  20. Fitting the control parameters of a genetic algorithm: An application to technical trading systems design. (2007). Nunez-Letamendia, Laura.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:179:y:2007:i:3:p:847-868.

    Full description at Econpapers || Download paper

  21. Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market. (2007). Gradojevic, Nikola.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:557-574.

    Full description at Econpapers || Download paper

  22. WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?. (2007). Irwin, Scott ; Park, Cheol-Ho.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:21:y:2007:i:4:p:786-826.

    Full description at Econpapers || Download paper

  23. The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis. (2006). Taylor, Mark ; Menkhoff, Lukas.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:769.

    Full description at Econpapers || Download paper

  24. An automated econometric decision support system: forecasts for foreign exchange trades. (2006). Schuster, Matthias ; Keber, Christian ; Brandl, Bernd.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:14:y:2006:i:4:p:401-415.

    Full description at Econpapers || Download paper

  25. Comparative study of central decision makers versus groups of evolved agents trading in equity markets. (2006). Schoreels, Cyril.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:410.

    Full description at Econpapers || Download paper

  26. On the Evolution of Investment Strategies and the Kelly Rule РA Darwinian Approach. (2006). Schenk-Hopp̩, Klaus ; Lensberg, Terje.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_023.

    Full description at Econpapers || Download paper

  27. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis. (2006). Taylor, Mark ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-352.

    Full description at Econpapers || Download paper

  28. Using machine learning algorithms to find patterns in stock prices. (2006). Sosvilla-Rivero, Simon.
    In: Working Papers.
    RePEc:fda:fdaddt:2006-12.

    Full description at Econpapers || Download paper

  29. Candlestick technical trading strategies: Can they create value for investors?. (2006). Young, Martin ; Rose, Lawrence ; Marshall, Ben.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:8:p:2303-2323.

    Full description at Econpapers || Download paper

  30. Forecasting with genetically programmed polynomial neural networks. (2006). de Menezes, Lilian M. ; Nikolaev, Nikolay Y..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:2:p:249-265.

    Full description at Econpapers || Download paper

  31. Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market. (2005). Sosvilla-Rivero, Simon ; Gonzalez-Martel, Christian ; Fernandez-Rodriguez, Fernando.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:11:p:773-775.

    Full description at Econpapers || Download paper

  32. The Role of Heterogeneous Agents’ Past and Forward Time Horizons in Formulating Computational Models. (2005). Hayward, Serge.
    In: Computational Economics.
    RePEc:kap:compec:v:25:y:2005:i:1:p:25-40.

    Full description at Econpapers || Download paper

  33. Chasing trends: recursive moving average trading rules and internet stocks. (2005). Fong, Wai Mun ; Yong, Lawrence H. M., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:1:p:43-76.

    Full description at Econpapers || Download paper

  34. Is the ‘Perfect’ Timing Strategy Truly Perfect?. (2004). Li, Wei ; Lam, K..
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:22:y:2004:i:1:p:39-51.

    Full description at Econpapers || Download paper

  35. The Evolution of Security Designs. (2004). Noe, Thomas ; Wang, Jun ; Rebello, Michael J..
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0026.

    Full description at Econpapers || Download paper

  36. The real-time predictability of the size and value premium in Japan. (2004). Derwall, Jeroen ; Molenaar, Roderick ; Bauer, Rob.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:5:p:503-523.

    Full description at Econpapers || Download paper

  37. Non-linear trading rules in the New York Stock Exchange. (2004). Andrada-Felix, Julian ; Rodriguez, Fernando Fernandez ; Maria Dolores Garcia Artiles, .
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-05.

    Full description at Econpapers || Download paper

  38. MÉTODOS NO-LINEALES DE PREDICCIÓN EN EL MERCADO DE VALORES TECNOLÓGICOS EN ESPAÑA. UNA VERIFICACIÓN DE LA HIPÓTESIS DÉBIL DE EFICIENCIA.. (2003). Dobao, Lucy Amigo ; Alvarez-Diaz, Marcos.
    In: Working Papers.
    RePEc:vig:wpaper:0303.

    Full description at Econpapers || Download paper

  39. Tactical Asset Allocation mit Genetischen Algorithmen. (2003). Ammann, Manuel ; Zenkner, Christian.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2003-i-1.

    Full description at Econpapers || Download paper

  40. Genetic Programming and International Short-Term Capital Flow. (2003). Chen, Shu-Heng ; Kuo, Tzu-Wen.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:74.

    Full description at Econpapers || Download paper

  41. Modelización semiparamétrica y validación teórica del método de valoración contingente. Aplicación de un algoritmo genético. (2003). Gomez, Manuel Gonzalez ; Diaz, Marcos Alvarez .
    In: Hacienda Pública Española.
    RePEc:hpe:journl:y:2003:v:164:i:1:p:29-47.

    Full description at Econpapers || Download paper

  42. Risk-adjusted, ex ante, optimal technical trading rules in equity markets. (2003). Neely, Christopher.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:12:y:2003:i:1:p:69-87.

    Full description at Econpapers || Download paper

  43. Can channel pattern trading be profitably automated?. (2002). Jones, C. M. ; M. A. H. DEMPSTER, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:275-301.

    Full description at Econpapers || Download paper

  44. Risk-adjusted, ex ante, optimal technical trading rules in equity markets. (2001). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:1999-015.

    Full description at Econpapers || Download paper

  45. Technical analysis and central bank intervention. (2001). Neely, Christopher ; Weller, Paul A..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:20:y:2001:i:7:p:949-970.

    Full description at Econpapers || Download paper

  46. Trading rule profits in Latin American currency spot rates. (2001). Lee, Chun I ; Gleason, Kimberly C. ; Mathur, Ike.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:10:y:2001:i:2:p:135-156.

    Full description at Econpapers || Download paper

  47. A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices. (2001). Shachmurove, Yochanan ; Yagil, Joseph ; Benzion, Uri ; Ben Zion, Uri ; Klein, Paul .
    In: Penn CARESS Working Papers.
    RePEc:cla:penntw:4731f3394c43bebf4d3191c81d15e9f0.

    Full description at Econpapers || Download paper

  48. The Efficient Market Hypothesis: A Survey. (2000). Vickery, James ; Gruen, David ; Beechey, Meredith.
    In: RBA Research Discussion Papers.
    RePEc:rba:rbardp:rdp2000-01.

    Full description at Econpapers || Download paper

  49. Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile. (2000). Parisi, Franco ; Vasquez, Alejandra.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:1:y:2000:i:2:p:152-164.

    Full description at Econpapers || Download paper

  50. Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules. (1999). Pereira, Robert.
    In: MPRA Paper.
    RePEc:pra:mprapa:9055.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-29 14:31:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.