Please use this identifier to cite or link to this item:
https://hdl.handle.net/1959.11/11714
Title: | Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis | Contributor(s): | Simmons, Phillip R (author) | Publication Date: | 2012 | DOI: | 10.1007/s10614-012-9314-2 | Handle Link: | https://hdl.handle.net/1959.11/11714 | 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. | Publication Type: | Journal Article | Source of Publication: | Computational Economics, 40(4), p. 377-385 | Publisher: | Springer New York LLC | Place of Publication: | United States of America | ISSN: | 1572-9974 0927-7099 |
Fields of Research (FoR) 2008: | 140207 Financial Economics | Fields of Research (FoR) 2020: | 380107 Financial economics | Socio-Economic Objective (SEO) 2008: | 910299 Microeconomics not elsewhere classified | Socio-Economic Objective (SEO) 2020: | 150599 Microeconomics not elsewhere classified | Peer Reviewed: | Yes | HERDC Category Description: | C1 Refereed Article in a Scholarly Journal |
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Appears in Collections: | Journal Article |
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