Profitability of technical stock trading: Has it moved from daily to intraday data, страница 16

Gehrig, T., & Menkhoff, L. (2004). The use of flow analysis in foreign exchange: Exploratory evidence. Journal of International Money and Finance, 23, 573–594.

Gehrig, T., & Menkhoff, L. (2005). The rise of fund managers in foreign exchange: Will fundamentals ultimately dominate? The World Economy, 28, 519–540.

Gehrig, T., & Menkhoff, L. (2006). Extended evidence on the use of technical analysis in foreign exchange. International Journal of Finance and Economics, 11, 327–338.

Gencay, R. (1999). Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules. Journal of International Economics, 47, 91–107.

Gencay, R., & Stengos, T. h. (1998). Moving average rules, volume and the predictability of security returns with feedforward networks. Journal of Forecasting, 17, 401–414.

Goetzmann, W. N., & Massa, M. (2002). Daily momentum and contrarian behavior of index fund investors. Journal of Financial and Quantitative Analysis, 37, 375–390.

Goldberg, M., & Schulmeister, S. t. (1988). Technical Analysis and Stock Market Efficiency. Economic Research Report. New York, C.V. Starr Center of Applied Economics : New York University.

Gunasekarage, A., & Power, D. M. (2001). The profitability of moving average trading rules in South Asian stock markets. Emerging Markets Review, 2, 17–33.

Hudson, R., Dempsey, M., & Keasey, K. (1996). A note on the weak form efficiency of capital markets: the application of simple technical trading rules to UK stock prices—1935 to 1994. Journal of Banking and Finance, 20, 1121–1132.

Irwin, S. H., & Holt, B. R. (2004). The impact of large hedge fund and CTA trading on futures market volatility. In G. N. Gregoriou, V. N. Karavas, F. S. L'Habitant, & F. Rouah (Eds.), Commodity Trading Advisers: Risk, Performance Analysis and Selection (pp. 151–182). New York: John Wiley & Sons.

Jasic, T., & Wood, D. (2004). The profitability of daily stock market indices trades based on neural network predictions: Case study for the S&P 500, the DAX, the TOPIX and the FTSE in the period 1965–1999. Applied Financial Markets, 14, 285–297.

Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.

Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and losers, implications for stock market efficiency. Journal of Finance, 48, 65–92.

Kaufman, P. J. (1987). The New Commodity Trading Systems and Methods. New York: John Wiley and Sons.

Kwon, K. Y., & Kish, R. J. (2002). Technical trading strategies and return predictability: NYSE. Applied Financial Economics, 12, 639–653.

LeBaron, B. (1999). Technical trading rule profitability and foreign exchange intervention. Journal of International Economics, 125–143.

Lehman, B. (1990). Fads, martingales and market efficiency. Quarterly Journal of Economics, 1–28 (35).

Levich, R., & Thomas, L. (1993). The significance of technical trading rule profits in the foreign exchange market: A bootstrap approach. Journal of International Money and Finance, 12, 451–474.

Lo, A. (2004). The adaptive market hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30, 15–29.

Lo, A. W., & MacKinlay, A. C. (1990). When are contrarian profits due to market overreaction? Review of Financial Studies, 3, 175–205.

Lo, A. W., Mamaysky, H., & Wang, J. (2000). Foundations of technical analysis: Computational algorithms. statistical inference, and empirical implementation. Journal of Finance, 55, 1705–1765.