#2006-046B "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich
August 2006
Revised March 2007

We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. More...

FORTHCOMING: Journal of Financial and Quantitative Analysis

#2006-033B "Central Bank Intervention with Limited Arbitrage"
by Christopher J. Neely, and Paul A. Weller
May 2006
Revised February 2007

Shleifer and Vishny (1997) pointed out some of the practical and theoretical problems associated with assuming that rational risk-arbitrage would quickly drive asset prices back to long-run equilibrium. More...

PUBLISHED: International Journal of Finance and Economics, April 2007, 12(2), pp. 249-60

#2001-009B "Predicting Exchange Rate Volatility: Genetic Programming vs. GARCH and Risk Metrics™"
by Christopher J. Neely, and Paul A. Weller

Revised September 2001

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics models for two currencies, DEM and JPY. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, May/June 2002, 84(3), pp. 43-54

#1999-016B "Intraday Technical Trading in the Foreign Exchange Market"
by Christopher J. Neely, and Paul A. Weller

Revised January 2001

This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. More...

PUBLISHED: Journal of International Money and Finance, 2003, 22(2), pp. 223-237

#1997-015C "Technical Trading Rules in the European Monetary System"
by Christopher J. Neely, and Paul A. Weller

Revised November 1998

Using genetic programming, we find trading rules that generate significant excess returns for three of four EMS exchange rates over the out-of-sample period 1986- 1996. Permitting the rules to use information about the interest rate differential proved to be important. More...

PUBLISHED: Journal of International Money and Finance, June 1999, 18(3), pp. 429-58

#1997-010D "Predictability in International Asset Returns: A Reexamination"
by Christopher J. Neely, and Paul A. Weller

Revised February 1999

This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992), who detected evidence of in-sample predictability in international equity and foreign exchange markets using VAR methodology for a variety of countries over the period 1981-1989. More...

PUBLISHED: Journal of Financial and Quantitative Analysis, December 2000, 35-(4), pp. 601-20

#1997-002C "Technical Analysis and Central Bank Intervention"
by Christopher J. Neely, and Paul A. Weller

Revised 2000

This paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1996) to show that technical trading rules can make use of information about intervention by the Federal Reserve to improve their out-of-sample profitability. A considerable part of the improvement in performance results from more efficient use of the information in the past exchange rate series. More...

PUBLISHED: Journal of International Money and Finance, December 2001, 20(7), pp. 949-70

#1996-006C "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach"
by Christopher J. Neely, Paul A. Weller, and Robert Dittmar
June 1996

Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates, over the period 1981-1995. Further, when the dollar/deutschemark rules are allowed to determine trades in the other markets, there is a significant improvement in performance in all cases, except for the deutschemark/yen. More...

PUBLISHED: Journal of Financial and Quantitative Analysis, December 1997

#1994-009D "Endogenous Realignments and the Sustainability of a Target Zone."
by Christopher J. Neely, Paul A. Weller, and Dean Corbae

Revised 1999

We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule that generates an increasing probability of realignment as output moves away from full employment. More...

PUBLISHED: Oxford Economic Papers, July 2003, 55(3), pp. 494-511