Transactions data tests of efficiency: An investigation in the Singapore futures markets
测试了技术交易规则在日内货币期货市场的盈利能力，对新加坡国际金融交易所的日元和德国马克期货的逐笔数据应用多种策略，发现考虑交易成本后无显著收益。
The aim of this article is to test the profitability of technical trading rules in the intra-day currency futures market. A wide range of technical strategies are applied to tick data over a two-year period for two currency futures—Japanese Yen (JY) and Deutschemark (DM)—traded in the Singapore International Monetary Exchange. The study finds that after incorporating transactions costs and testing for the significance of the profits using a bootstrap methodology, none of the technical trading systems produce significant returns. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:687–704, 2000