We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies for emerging foreign exchange markets, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on...

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on standard tests, we find hundreds to...

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...