Robust trading rule selection and forecasting accuracy

DOI10.1007/s11424-014-3302-7zbMath1294.93055OpenAlexW2345686383MaRDI QIDQ741892

Angi Rösch, Harald Schmidbauer, Tolga Sezer, Vehbi Sinan Tunalioğlu

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-014-3302-7

zbMATH Keywords

evolutionary computationefficient market hypothesisa priori robustnessdata-snooping biasintraday FX marketstime-series bootstraptrading rule selection

Mathematics Subject Classification ID

Trade models (91B60) Sampled-data control/observation systems (93C57)

Uses Software

• R
• meboot

Cites Work

• Unnamed Item
• Evolving technical trading rules for spot foreign-exchange markets using grammatical evolution
• A Reality Check for Data Snooping

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