Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis

Author(s)
Simmons, Phillip R
Publication Date
2012
Abstract
The proposition that a relatively new technology such as a differential evolutionary algorithm (DEA) can violate the weak form of the efficient market hypothesis is tested using daily data from the Australian share market from 2000 until 2008. An option trading strategy based on forecasts from a DEA is shown to perform better than a buy and hold strategy over parts of the sample space and, on average, over all of it. Speculators may make supernormal profits using new methodologies however such profits are unlikely to be sustained.
Citation
Computational Economics, 40(4), p. 377-385
ISSN
1572-9974
0927-7099
Link
Publisher
Springer New York LLC
Title
Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis
Type of document
Journal Article
Entity Type
Publication

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