Data/hora: 12/06/2024 15:45:33

Provedor de dados: 	31	
País: 	United States	
Título: 	TECHNICAL ANALYSIS IN COMMODITY MARKETS:  RISK, RETURNS, AND VALUE	
Autores: 	Roberts,   Matthew C.	
Data: 	2003-07-11	
Ano: 	2003	
Palavras-chave: 	Technical Analysis; Genetic Algorithms; Commodity Markets; Futures Markets; Marketing.	
Resumo: 	Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets.  Much prior research into technical analysis suffered from data-snooping biases.  Using genetic programming, ex ante optimal technical trading strategies are identified.  Because they are mechanically generated from simple arithmetic operators, they are free of the data-snooping bias common in technical analysis research.  These rules are clearly capable of forecasting periods of high and low volatility, but rules generated for corn and soybeans cannot consistently generate profits in the presence of transactions costs.  Rules generated for wheat futures produce profits that are weakly significant, both statistically and economically.	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	10929

http://purl.umn.edu/18974	
Editor: 	AgEcon Search	
Relação: 	NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2003 Conference, St. Louis, Missouri, April 21-22

2003 Conference, St. Louis, Missouri, April 21-22	
Formato: 	19

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