The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
检验外汇市场技术交易规则的超额收益是否随时间稳定，发现1970-80年代的利润机会到1990年代初消失，支持适应性市场假说而非有效市场假说。
Abstract 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. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the early 1990s for filter and moving average rules. Returns to less-studied rules also have declined but have probably not completely disappeared. High volatility prevents precise estimation of mean returns. These regularities are consistent with the Adaptive Markets Hypothesis (Lo (2004)), but not with the Efficient Markets Hypothesis.