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
Appears in Collections:Journal Article

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