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Description
Title: | The Profitability of Technical Trading Rules in United States Futures Markets |
Author(s): | Park, Cheol-Ho |
Doctoral Committee Chair(s): | Irwin, Scott H. |
Department / Program: | Agricultural and Consumer Economics |
Discipline: | Agricultural and Consumer Economics |
Degree Granting Institution: | University of Illinois at Urbana-Champaign |
Degree: | Ph.D. |
Genre: | Dissertation |
Subject(s): | Economics, Finance |
Abstract: | The results of the first approach confirm Lukac, Brorsen, and Irwin's successful findings during the 1978--1984 period. The replication results, however, show that substantial technical trading profits during the early period disappeared in the subsequent 1985--2003 period. The results of the second approach indicate that the best rule of 14 technical trading systems generates statistically significant economic profits only for 2 of 17 US futures markets over 1985--2004. This evidence suggests that technical trading rules in general have not been profitable in US futures markets over the last 20 years after correcting for data snooping biases. |
Issue Date: | 2005 |
Type: | Text |
Language: | English |
Description: | 300 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005. |
URI: | http://hdl.handle.net/2142/82980 |
Other Identifier(s): | (MiAaPQ)AAI3199110 |
Date Available in IDEALS: | 2015-09-25 |
Date Deposited: | 2005 |
This item appears in the following Collection(s)
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Dissertations - Agricultural and Consumer Economics
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Graduate Dissertations and Theses at Illinois
Graduate Theses and Dissertations at Illinois