Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model

Detalhes bibliográficos
Autor(a) principal: Palma, Andreza Aparecida
Data de Publicação: 2016
Outros Autores: Sartoris, Alexandre [UNESP]
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://dx.doi.org/10.1080/10978526.2016.1171720
http://hdl.handle.net/11449/168792
Resumo: This article utilizes an artificial neural network model to examine the hypothesis of weak-form market efficiency for the monthly Brazilian exchange rate from 1999 to 2013. The method of partial derivatives suggested by Racine and White (2001) is used. The first step is to choose network architecture, second, weights estimation, and, at last, testing according to the suggested procedure. The results suggest that the Brazilian foreign exchange market is not efficient informally; thus, agents can obtain unusual profits through arbitrage.
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spelling Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network ModelArtificial neural networksexchange rateinferencemarket efficiencyThis article utilizes an artificial neural network model to examine the hypothesis of weak-form market efficiency for the monthly Brazilian exchange rate from 1999 to 2013. The method of partial derivatives suggested by Racine and White (2001) is used. The first step is to choose network architecture, second, weights estimation, and, at last, testing according to the suggested procedure. The results suggest that the Brazilian foreign exchange market is not efficient informally; thus, agents can obtain unusual profits through arbitrage.Department of Economics UFSCAR Federal University of São CarlosDepartment of Economics UNESP São Paulo State UniversityDepartment of Economics UNESP São Paulo State UniversityUniversidade Federal de São Carlos (UFSCar)Universidade Estadual Paulista (Unesp)Palma, Andreza AparecidaSartoris, Alexandre [UNESP]2018-12-11T16:43:05Z2018-12-11T16:43:05Z2016-04-02info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article163-176application/pdfhttp://dx.doi.org/10.1080/10978526.2016.1171720Latin American Business Review, v. 17, n. 2, p. 163-176, 2016.1528-69321097-8526http://hdl.handle.net/11449/16879210.1080/10978526.2016.11717202-s2.0-849775839602-s2.0-84977583960.pdfScopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengLatin American Business Review0,1250,125info:eu-repo/semantics/openAccess2023-10-19T06:08:25Zoai:repositorio.unesp.br:11449/168792Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T15:22:07.880960Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
title Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
spellingShingle Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
Palma, Andreza Aparecida
Artificial neural networks
exchange rate
inference
market efficiency
title_short Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
title_full Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
title_fullStr Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
title_full_unstemmed Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
title_sort Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model
author Palma, Andreza Aparecida
author_facet Palma, Andreza Aparecida
Sartoris, Alexandre [UNESP]
author_role author
author2 Sartoris, Alexandre [UNESP]
author2_role author
dc.contributor.none.fl_str_mv Universidade Federal de São Carlos (UFSCar)
Universidade Estadual Paulista (Unesp)
dc.contributor.author.fl_str_mv Palma, Andreza Aparecida
Sartoris, Alexandre [UNESP]
dc.subject.por.fl_str_mv Artificial neural networks
exchange rate
inference
market efficiency
topic Artificial neural networks
exchange rate
inference
market efficiency
description This article utilizes an artificial neural network model to examine the hypothesis of weak-form market efficiency for the monthly Brazilian exchange rate from 1999 to 2013. The method of partial derivatives suggested by Racine and White (2001) is used. The first step is to choose network architecture, second, weights estimation, and, at last, testing according to the suggested procedure. The results suggest that the Brazilian foreign exchange market is not efficient informally; thus, agents can obtain unusual profits through arbitrage.
publishDate 2016
dc.date.none.fl_str_mv 2016-04-02
2018-12-11T16:43:05Z
2018-12-11T16:43:05Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://dx.doi.org/10.1080/10978526.2016.1171720
Latin American Business Review, v. 17, n. 2, p. 163-176, 2016.
1528-6932
1097-8526
http://hdl.handle.net/11449/168792
10.1080/10978526.2016.1171720
2-s2.0-84977583960
2-s2.0-84977583960.pdf
url http://dx.doi.org/10.1080/10978526.2016.1171720
http://hdl.handle.net/11449/168792
identifier_str_mv Latin American Business Review, v. 17, n. 2, p. 163-176, 2016.
1528-6932
1097-8526
10.1080/10978526.2016.1171720
2-s2.0-84977583960
2-s2.0-84977583960.pdf
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Latin American Business Review
0,125
0,125
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 163-176
application/pdf
dc.source.none.fl_str_mv Scopus
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
_version_ 1808128502920118272

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