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Components of the Profitability of Technical Currency Trading

Schulmeister, Stephan - 2010

German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would …. Fifth, the profitability of technical trading the German mark (euro)/U. S. dollar exchange rate has been significantly lower …

Persistent link: https://www.econbiz.de/10013135722

The Role of Technical Analysis in the Foreign Exchange Market

Quintanilla García, Bernardo - 2012

This paper provides evidence that currency spot prices are autocorrelated, which indicates that technical analysis in foreign exchange trading can and should take a leading role for analyzing expected exchange rate movements. The Augmented Dickey-Fuller test was used to test the Random Walk...

Persistent link: https://www.econbiz.de/10013113581

Lessons from the Evolution of Foreign Exchange Trading Strategies

Neely, Christopher J. - 2011

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from forex technical rules in major and emerging markets, the...

Persistent link: https://www.econbiz.de/10013120580

Country News Sentiment Factors Predict Forex Prices

Hafez, Peter - 2013

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Persistent link: https://www.econbiz.de/10013081446

Lessons from the Evolution of Foreign Exchange Trading Strategies

Neely, Christopher J. - 2013

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and...

Persistent link: https://www.econbiz.de/10013092372

Do Credit Default Swaps Predict Currency Values?

Zhang, Gaiyan - 2009

Using daily data of four currencies (Japanese yen, euro, British pound, and Australian dollar) in terms of the U ….S. dollar, and these four currencies in terms of the euro from January 2004 to February 2008, we examine the lead … the Japanese yen, euro, and Australian dollar exchange rates in terms of the U.S. dollar for the whole period and during …

Persistent link: https://www.econbiz.de/10013155167

Diversification Role of Currency Momentum for Carry Trade : Evidence from Financial Crises

Yamani, Ehab Abdel-Tawab - 2019

The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...

Persistent link: https://www.econbiz.de/10012898585

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...

Persistent link: https://www.econbiz.de/10013013057

Can Technical Trading Beat the Foreign Exchange Market in times of Crisis?

Yamani, Ehab Abdel-Tawab - 2020

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Persistent link: https://www.econbiz.de/10012851671

Foreign Exchange Volume

Cespa, Giovanni - 2020

We investigate the information contained in foreign exchange (FX) volume using a novel dataset from the over-the-counter market. We find volume helps predict next day currency returns and is economically valuable for currency investors. Predictability implies a stronger currency return reversal...

Persistent link: https://www.econbiz.de/10012853916