Lo, A., & MacKinlay, A. C. (1990). Data snooping biases in tests of financial asset pricing models. Review of Financial Studies, 3, 431–467.
Journal of Futures Markets DOI: 10.1002/fut
Lukac, L. P., & Brorsen, B. W. (1990). A comprehensive test of futures market disequilibrium. Financial Review, 25, 593–622.
Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). A test of futures market disequilibrium using twelve different technical trading systems. Applied Economics, 20, 623–639.
Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17, 59–82.
Menkhoff, L., & Taylor, M. P. (2007). The obstinate passion of foreign exchange professionals: Technical analysis. Journal of Economic Literature, 45, 936–972.
Merton, R. C. (1987). On the current state of the stock market rationality hypothesis. In R. Dornbusch, S. Fischer, & J. Bossons (Ed.), Macroeconomics and finance: Essays in honor of Franco Modigliani (pp. 93–124). Cambridge, MA: MIT Press.
Murphy, J. J. (1986). Technical analysis of the futures markets. New York, NY: New York Institute of Finance.
Neely, C. J. (2002). The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading profits. Journal of International Economics, 58, 211–232.
Neely, C. J., Weller, P. A., & Dittmar R. (1997). Is technical analysis in the foreign exchange market profitable? A genetic programming approach. Journal of Financial and Quantitative Analysis, 32, 405–426.
Neely, C. J., Weller, P. A., & Ulrich, J. M. (2009). The adaptive markets hypothesis: Evidence from the foreign exchange market. Journal of Financial and Quantitative Analysis, 44, 467–488.
Olson, D. (2004). Have trading rule profits in the currency markets declined over time? Journal of Banking and Finance, 28, 85–105.
Park, C.-H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21, 786–826.
Politis, D. N., & Romano, J. P. (1994). The stationary bootstrap. Journal of the American Statistical Association, 89, 1303–1313.
Ready, M. J. (2002). Profits from technical trading rules. Financial Management, 31, 43–61.
Qi, M., & Wu, Y. (2006). Technical trading-rule profitability, data snooping, and reality check: Evidence from the foreign exchange market. Journal of Money, Credit, and Banking, 38, 2135–2158.
Roberts, M. C. (2005). Technical analysis and genetic programming: Constructing and testing a commodity portfolio. Journal of Futures Markets, 25, 643–660.
Schwager, J. D. (1996). Schwager on futures: Technical analysis. New York, NY: Wiley.
Schwert, G. W. (2003). Anomalies and market efficiency. In G. Constantinides, M. Harris, & R. Stulz (Ed.), Handbook of the economics of finance (pp. 939–974). Amsterdam: Elsevier North-Holland.
Silber, W. L. (1994). Technical trading: When it works and when it doesn’t. Journal of Derivatives, 1, 39–44.
Slezak, S. L. (2003). On the impossibility of weak-form efficient markets. Journal of Financial and Quantitative Analysis, 38, 523–554.
Уважаемый посетитель!
Чтобы распечатать файл, скачайте его (в формате Word).
Ссылка на скачивание - внизу страницы.