We offer further evidence on the relevance of technical trading in exchange-rate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor's (1980) price trend model, generating optimal...

We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor's (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the...

Este trabajo intenta arrojar luz sobre las analogías históricas de la crisis actual. Para ello se compara la distribución de los rendimientos del Índice Dow Jones Industrial Average durante un período de 769 días (del 15 de septiembre de 2008, la quiebra de Lehman Brothers, hasta...

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to September 2011), with all...

In this paper, we propose a new test, based on the stability of the largest Lyapunov exponent from different sample sizes, to detect chaotic dynamics in economic and financial time series. We apply this new test to the simulated data used in the single-blind controlled competition among tests...