Have trading rule profits in the currency markets declined over time

By Dennis Olson. 2004

189 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b52f25ade612155b5fed5fc0000ca772caa76b3e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Lukas Menkhoff
2. Mark P. Taylor
3. Christopher J. Neely
4. Scott H. Irwin
5. Rochester H. Cahan
6. Jared M. Cahan
7. Jacinta Chan Phooi M’ng
8. Pedro Cortesão Godinho

In Finance

1. Lukas Menkhoff
2. Mark P. Taylor
3. Christopher J. Neely
4. Jacinta Chan Phooi M’ng
5. Rozaimah Zainudin
6. Joshua M. Ulrich
7. Paul A. Weller
8. Pedro Cortesão Godinho

Citations in the corpus

• Currency Momentum Strategies (2012, unknown): “…studies also covering the 1990s and 2000s find that the above mentioned simple trend following strategies applied to the same set of exchange rates no longer yield attractive returns (see, e.g., Olson, 2004; Pukthuanthong-Le, Levich, and Thomas III, 2007; Neely, Weller, and Ulrich, 2009).”
• Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies (2016, background): “Nevertheless, many have also highlighted the existence of a slowmoving downtrend for this kind of profitability over the last decade [24], [25], [26].”
• The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “Thus, only the studies of Dooley and Shafer (1983) and Sweeney (1986) have been consistently cited in the literature (see e.g. Gencay, 1999; LeBaron, 1999; Neely, 2002; Olson, 2004).”
• The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2009, background): “Olson (2004) dynamically reoptimizes MA rule portfolios in successive 5-year periods from 19712000 and then tests these in successive 5-year out-of-sample periods.”
• The Profitability of Technical Analysis: A Review (2004, background): “Olson (2004) 18 exchange rates / Daily 5-year insample period from 1971-2000 (1976-2000) Moving average (short moving averages: 1 day to 12 days; long moving”
• Does intraday technical analysis in the U.S. equity market have value (2008, background): “…analysis, the academic literature has focused on testing the profitability of long-term technical trading rules.3 Most studies find that technical analysis is not profitable once transaction costs are taken into account (e.g., Allen and Karjalainen, 1999; Bessembinder and Chan, 1998; Olson, 2004).”
• Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies (2008, background): “6 period separately because Olson (2004) shows that the profits to technical analysis in the currency market have been eroded over time.”
• A Forex trading system based on a genetic algorithm (2012, background): “…market (Menkhoff and Taylor 2007; Neely et al. 2009), and there is evidence that, at least until the early 1990s, it generated significant excess returns (Sweeney 1986; Levich and Thomas 1993; LeBaron 1999, 2002; Olson 2004; Park and Irwin 2007; Schulmeister 2008; Neely et al. 2009; among others).”
• Forecasting East Asian Indices Futures via a Novel Hybrid of Wavelet-PCA Denoising and Artificial Neural Network Models (2016, methodology): “The purpose of this research is therefore twofold: it not only tests and develops innovative uses of Wavelet Principal Component Analysis (WPCA) and ANN on time series, but also offers to trading practitioners a timely trading method to make better trading decisions in financial markets where studie”