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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
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
Description:300 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.
Other Identifier(s):(MiAaPQ)AAI3199110
Date Available in IDEALS:2015-09-25
Date Deposited:2005

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