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Further insights on the puzzle of technical analysis profitability

Bertrand Maillet and Thierry Michel

The European Journal of Finance, 2000, vol. 6, issue 2, 196-224

Abstract: This paper extends current results concerning technical analysis efficiency on the foreign exchange market and attempts to determine whether filtering the raw exchange rate series with some trading rule significantly changes its characteristics. Because of the non-normality of exchange rate series, bootstrap methods are used on the main daily exchange rates since 1974 to show technical analysis performance. The technical analysis strategy tested generates returns whose distribution is significantly different from the basic series. The robustness of the results is tested in and out-of-sample and an explanation of the technical analysis performance based on its filtering properties is suggested.

Keywords: International Finance Technical Analysis Performance Market Foreign Exchange Financial Forecasting Efficient Market Hypothesis (search for similar items in EconPapers)
Date: 2000
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