Exploiting trends in the foreign exchange markets
We offer further evidence on the relevance of technical trading in exchangerate 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 one-stepah...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2012 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/42995 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/42995 |
| Access Level: | acceso abierto |
| Palabra clave: | C53 F31 G14 Exchange rates Price trend model Genetic algorithms Trading rules. Econometría (Economía) Economía internacional Finanzas 5302 Econometría 5310 Economía Internacional |
| Sumario: | We offer further evidence on the relevance of technical trading in exchangerate 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 one-stepahead forecasts of returns using genetic algorithms. These trading rules, that bear similarity to the popular trading rules based on moving averages, overcome the buy-and-hold strategy in 25 of 39 cases where trends are detected, even in the presence of transaction costs. |
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