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Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/8907
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dc.contributor.authorSimmons, Phillip Ren
dc.date.accessioned2011-11-24T17:21:00Z-
dc.date.issued2010-
dc.identifier.citationAnnual Conference of Economists (ACE10) Papers, p. 1-9en
dc.identifier.urihttps://hdl.handle.net/1959.11/8907-
dc.description.abstractThe proposition that a relatively new technology such as a Differential Evolutionary Algorithm (DEA) can violate the weak form of the Efficient Markets Hypothesis is tested using daily data from the Australian share market from 2000 until 2008. An options 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. The paper concludes speculators may make supernormal profits from new methodologies however that such profits are unlikely to be sustained.en
dc.languageenen
dc.publisherEconomic Society of Australia Incen
dc.relation.ispartofAnnual Conference of Economists (ACE10) Papersen
dc.relation.ispartofseriesAustralian Conference of Economists Papersen
dc.titleTesting the Efficient Market Hypothesis in the Australian Share Market using a Differential Evolutionary Algorithmen
dc.typeConference Publicationen
dc.relation.conferenceACE 2010: 39th Annual Australian Conference of Economistsen
dc.subject.keywordsFinancial Economicsen
local.contributor.firstnamePhillip Ren
local.subject.for2008140207 Financial Economicsen
local.subject.seo2008910199 Macroeconomics not elsewhere classifieden
local.profile.schoolUNE Business Schoolen
local.profile.emailpsimmons@une.edu.auen
local.output.categoryE1en
local.record.placeauen
local.record.institutionUniversity of New Englanden
local.identifier.epublicationsrecordune-20110223-123646en
local.date.conference27th - 29th September, 2010en
local.conference.placeSydney, Australiaen
local.publisher.placeWilloughby, Australiaen
local.identifier.runningnumber33en
local.format.startpage1en
local.format.endpage9en
local.series.numberACE2010en
local.peerreviewedYesen
local.contributor.lastnameSimmonsen
dc.identifier.staffune-id:psimmonsen
local.profile.roleauthoren
local.identifier.unepublicationidune:9097en
dc.identifier.academiclevelAcademicen
local.title.maintitleTesting the Efficient Market Hypothesis in the Australian Share Market using a Differential Evolutionary Algorithmen
local.output.categorydescriptionE1 Refereed Scholarly Conference Publicationen
local.relation.urlhttps://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=ACE10&paper_id=33en
local.relation.urlhttp://www.ecosoc.org.au/cc/publicationsen
local.conference.detailsACE 2010: 39th Annual Australian Conference of Economists, Sydney, Australia, 27th - 29th September, 2010en
local.search.authorSimmons, Phillip Ren
local.uneassociationUnknownen
local.year.published2010en
local.date.start2010-09-27-
local.date.end2010-09-29-
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