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...

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Detalles Bibliográficos
Autores: Fernández-Pérez, Adrian, Fernández-Rodríguez, Fernando, Sosvilla Rivero, Simón Javier
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
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oai_identifier_str oai:docta.ucm.es:20.500.14352/42995
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network_name_str España
repository_id_str
spelling Exploiting trends in the foreign exchange marketsFernández-Pérez, AdrianFernández-Rodríguez, FernandoSosvilla Rivero, Simón JavierC53F31G14Exchange ratesPrice trend modelGenetic algorithmsTrading rules.Econometría (Economía)Economía internacionalFinanzas5302 Econometría5310 Economía InternacionalWe 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.Taylor & FrancisUniversidad Complutense de Madrid20122012-01-0120122012-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/42995reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/429952026-06-02T12:44:21Z
dc.title.none.fl_str_mv Exploiting trends in the foreign exchange markets
title Exploiting trends in the foreign exchange markets
spellingShingle Exploiting trends in the foreign exchange markets
Fernández-Pérez, Adrian
C53
F31
G14
Exchange rates
Price trend model
Genetic algorithms
Trading rules.
Econometría (Economía)
Economía internacional
Finanzas
5302 Econometría
5310 Economía Internacional
title_short Exploiting trends in the foreign exchange markets
title_full Exploiting trends in the foreign exchange markets
title_fullStr Exploiting trends in the foreign exchange markets
title_full_unstemmed Exploiting trends in the foreign exchange markets
title_sort Exploiting trends in the foreign exchange markets
dc.creator.none.fl_str_mv Fernández-Pérez, Adrian
Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author Fernández-Pérez, Adrian
author_facet Fernández-Pérez, Adrian
Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author_role author
author2 Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C53
F31
G14
Exchange rates
Price trend model
Genetic algorithms
Trading rules.
Econometría (Economía)
Economía internacional
Finanzas
5302 Econometría
5310 Economía Internacional
topic C53
F31
G14
Exchange rates
Price trend model
Genetic algorithms
Trading rules.
Econometría (Economía)
Economía internacional
Finanzas
5302 Econometría
5310 Economía Internacional
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01
2012
2012-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/42995
url https://hdl.handle.net/20.500.14352/42995
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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