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Author : Richard M. Levich
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (244 download)
Download or read book The Significance of Technical Trading-rule Profits in the Foreign Exchange Market written by Richard M. Levich and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard M. Levich
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (287 download)
Download or read book The Significance of Technical Trading-rule Profits in the Foreign Exchange Markets written by Richard M. Levich and published by . This book was released on 1993 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Allen N. Berger
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (214 download)
Download or read book The Significance of Technical Trading-rule Profits in the Foreign Exchange Markets written by Allen N. Berger and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (92 download)
Download or read book Technical Trading Rule Profits in the Foreign Exchange Market written by and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2000 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Author : Patchara Surajaras
Publisher : Routledge
ISBN 13 : 1000236420
Total Pages : 295 pages
Book Rating : 4.0/5 (2 download)
Download or read book Profit-making Speculation In Foreign Exchange Markets written by Patchara Surajaras and published by Routledge. This book was released on 2019-09-05 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technical analysis is not supposed consistently to beat financial markets. In this book, however, Professors Surajaras and Sweeney seek to establish that carefully chosen rules can produce substantial and consistent measured profits over time. The authors also call into question the traditional academic wisdom that markets in general are efficient.
Author : Min Qi
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.
Author : Ulrike Ludden
Publisher : Lit Verlag
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (55 download)
Download or read book Technical Analysis on Foreign Exchange Markets written by Ulrike Ludden and published by Lit Verlag. This book was released on 1999 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: " During the last decades, the international financial markets saw enormous developments. Today, every newspaper offers advice on investment strategies and analysts seemingly earn money by drawing magic lines through prices series. Even though more and more traders rely on technical analysis, economists remain sceptical. How can the apparent success of technical trading strategies be reconciled with efficient market theories? This book mainly consists of three parts. The first part critically reviews the empirical literature on technical analysis and suggests to leave behind profitability calculations in favor of a systematic approach to analyzing trading rules, where special attention is given to the evaluation of the rules' forecasts. The second part presents the results of an empirical analysis that covers 5 exchange rates series spanning more than 20 years. In the third part, the theoretical background as well as the implications of a widespread use of technical analysis are critically discussed. The thorough overview presented here lays a foundation for further discussions of technical analyses and its effects on markets. "
Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 : 1118445775
Total Pages : 674 pages
Book Rating : 4.1/5 (184 download)
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Author : Blake Dean LeBaron
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (346 download)
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake Dean LeBaron and published by . This book was released on 1996 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced
Author : Philipp Jan Siegert
Publisher : GRIN Verlag
ISBN 13 : 3638432440
Total Pages : 76 pages
Book Rating : 4.6/5 (384 download)
Download or read book Technical Trading Rules Empirical Evidence from Future Data written by Philipp Jan Siegert and published by GRIN Verlag. This book was released on 2005-10-27 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, Sophia Antipolis Campus (France); SKEMA Business School (Global Finance Chair), language: English, abstract: Most banks and the recently upcoming hedge fund industry rely to a different extent on technical trading rules and technical analysis. The fact that these technical trading rules yield superior returns in practice raises several questions that will be examined in the thesis. First, one of the most crucial questions is in which assets technical trading rules perform extraordinarily well. This analysis is based on a risk-return approach with an assessment of the negative standard deviation of each asset as a risk indicator. Second, the statistical significance of technical trading is examined by using a simulation method known as bootstrap. Third, null models are simulated to answer the question to what extent autoregressive models and GARCH models are able to capture the dependencies in the time series. Finally, a rule optimizer is used to assess if any rule parameters yield superior returns over a wide range of assets. We find that under a risk-return perspective trading rules look very attractive as most rules are able to significantly reduce the negative standard deviation compared to a buy-and-hold strategy. However, not all rules are able to outperform a simple buy-and-hold strategy in terms of absolute return. Statistical significance is generally weak and only some rules can be qualified as highly statistically significant. We do not find much evidence that autoregressive and GARCH null models perform well in capturing the dependencies that lead to superior returns of technical trading rules. With respect to trading rule parameters we find that shorter rules generally perform better when trading costs are not considered and that currencies benefited from a larger standard deviation trading band.
Author : Igor Cialenco
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies written by Igor Cialenco and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for fourteen developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods. But out-of-sample returns are lower and only occasionally significant. We show that a currency risk factor proposed in the literature is systematically related to these returns. We find no support for the hypotheses that falling transactions costs are responsible for declining trading profits or for the Adaptive Market hypothesis. Importantly, we show that algorithms that simulate out-of-sample returns have serious instability difficulties.
Author : Ciara Anne Lynch
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (795 download)
Download or read book An Empirical Examination of the Profitability of Technical Trading Rules in Foreign Exchange Markets written by Ciara Anne Lynch and published by . This book was released on 2005 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Po-Hsuan Hsu
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (13 download)
Download or read book Technical Trading written by Po-Hsuan Hsu and published by . This book was released on 2016 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45 years for 30 developed and emerging market currencies. Employing a stepwise test to counter data-snooping bias and examining over 21,000 technical rules, we find evidence of substantial predictability and excess profitability in both developed and emerging currencies, measured against a variety of performance metrics. We cross-validate our results using out-of-sample analysis. We find time-series and cross-sectional variation in sub-periods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity generate technical predictability and potential excess profitability.
Author : Emmanual Acar
Publisher : Elsevier
ISBN 13 : 0080493432
Total Pages : 468 pages
Book Rating : 4.0/5 (84 download)
Download or read book Advanced Trading Rules written by Emmanual Acar and published by Elsevier. This book was released on 2002-05-23 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. - The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers - Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation - Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
Author : Imad Moosa A
Publisher : ICFAI Books
ISBN 13 : 8131407179
Total Pages : 222 pages
Book Rating : 4.1/5 (314 download)
Download or read book The Profitability of Trading Rules and Volatility in Emerging Financial Markets written by Imad Moosa A and published by ICFAI Books. This book was released on 2007-07-19 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a study of the profitability of technical and fundamental trading rules in emerging financial markets (stock and foreign exchange markets) using Kuwait as a case study. The ultimate objective of the study is to demonstrate that financial vola
Download or read book Technical Analysis and the Profitability of United States Foreign Exchange Intervention written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cf.: http://dx.doi.org/10.3886/ICPSR01193.v1.
