875 research outputs found
Ms. Neely Terrell, RWWL AUC, March 2012
No full textThis video is a conversation with Ms. Neely Terrell. Ms. Terrell talks about her book, "Super Singles Activate". Anthony Kinsey and Jahnesta Horney, AUC Woodruff Library, are the interviewers
Technical analysis and central bank intervention
No full textThis paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1997) to show that technical trading rules can make use of information about U.S. foreign exchange intervention to improve their out-of-sample profitability for two of four exchange rates. Rules tend to take positions contrary to official intervention and are unusually profitable on days prior to intervention, indicating that intervention is intended to check or reverse predictable trends. Intervention seems to be more successful in checking predictable trends in the out-of-sample (1981-1996) period than in the in-sample (1975-1980) period. We conjecture that this instability in the intervention process prevents more consistent improvement in the excess returns to rules. We find that the improvement in performance results solely from more efficient use of the information in the past exchange rate series rather than from information about contemporaneous intervention.Banks and banking, Central ; Foreign exchange
Christopher Neely, tenor, Tuesday, August 6, 2013
No full textIn partial fulfillment of the requirements for the degree of
Master of Musi
Four Stories of Quantitative Easing
No full textBrett W. Fawley is a senior research associate and Christopher J. Neely is an assistant vice president and economist at the Federal Reserve Bank of St. Loui
Technical analysis and central bank intervention
No full textThis paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1997) to
show that technical trading rules can make use of information about U.S. foreign exchange intervention to
improve their out-of-sample profitability for two of four exchange rates. Rules tend to take positions
contrary to official intervention and are unusually profitable on days prior to intervention, indicating that
intervention is intended to check or reverse predictable trends. Intervention seems to be more successful in
checking predictable trends in the out-of-sample (1981-1996) period than in the in-sample (1975-1980)
period. We conjecture that this instability in the intervention process prevents more consistent improvement
in the excess returns to rules. We find that the improvement in performance results solely from more
efficient use of the information in the past exchange rate series rather than from information about
contemporaneous intervention
Technical analysis in the foreign exchange market: a layman's guide
No full textEconomists have traditionally been skeptical of the value of technical analysis, the use of past price behavior to guide trading decisions in asset markets. Instead, they have relied on the logic of the efficient markets hypothesis. Christopher J. Neely briefly explains the fundamentals of technical analysis and the efficient markets hypothesis as applied to the foreign exchange market, evaluates the profitability of simple trading rules, and reviews recent ideas that might justify extrapolative technical analysis.Foreign exchange
The giant sucking sound: did NAFTA devour the Mexican peso?
No full textFive years of economic reforms had made Mexico a model for other developing nations by the end of 1993, when Mexico was preparing to enter into the North American Free Trade Agreement (NAFTA) with Canada and the United States. But less than a year later, in December 1994, Mexico experienced a severe financial crisis, forcing it to borrow from the IMF and the United States. Some commentators blamed the enactment of NAFTA for the devaluation of the peso and the ensuing economic turmoil in Mexico, with some calling for renegotiation or even repeal of the agreement. Author Christopher J. Neely examines the relationship between NAFTA and the 1994 peso crisis and raises some provocative questions: did NAFTA cause or exacerbate the devaluation of the peso? or did NAFTA help alleviate some of the consequences of the crisis?North American Free Trade Agreement ; Mexico ; Capital movements ; Devaluation of currency ; Peso, Mexican
Philip P. Neely scrapbook of fugitive fiction, W.0022
No full textAbstract: Scrapbook containing handwritten notes and newspaper clippings related to Philip P. Neely's writingsScope and Content Note: This scrapbook contains newspaper clippings and handwritten notes related to Philip P. Neely's writings. Highlights of the collection include copies of the short story series "Threads: From the Life-Woof of Hal Hankins, Esq.," selections from the autobiographical column "Leaves from my Life-Book," and selections from a social column entitled "Pen and Ink Gossip."Biographical/Historical Note: Philip Philips Neely was born on 8 September 1819 in Rutherford County, Tennessee. He was a Methodist minister and author of several serialized novellas as well as several books of sermons. Neely and his first wife, Henrietta, had one child, John Edwin Polk, before she died in 1847 (presumably in childbirth) with the couple's second child. With his second wife, J. Alice, they had at least one daughter, Julia E.Philip Neely died on 9 November 1868, in Mobile, Alabama
Technical trading rules in the European Monetary System
No full textUsing the genetic programming methodology developed in Neely, Weller and Dittmar (1997), we find trading rules that generate significant excess returns for three of four EMS exchange rates over the out-of-sample period 1986-1996. Permitting the rules to use information about the interest rate differential proved to be important. The reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability. The currency for which there was least evidence of significant excess returns was the Dutch guilder, which was also the only currency that remained within a band of 2.25% throughout our sample period. Our results cannot be duplicated by the moving average or filter rules commonly used by technical analysts or by two trading rules designed specifically to exploit known features of target zone exchange rates. The observed excess returns cannot be explained as compensation for bearing systematic risk.Foreign exchange ; European Monetary System (Organization)
The transition to electronic communications networks in the secondary treasury market
No full textThis article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). ; Appeared earlier as Working Paper 2006-012Electronic commerce ; Electronic funds transfers
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