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Author : Blake Dean LeBaron
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (32 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 1994 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : 18 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 2010 with total page 18 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.
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.
Author : Simon Sosvilla-Rivero
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention written by Simon Sosvilla-Rivero and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present new evidence on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, we evaluate the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors, which may be viewed as a generalisation of graphical methods widely used in financial markets. We use daily data on the US Dollar/Deutsche mark and US Dollar/Japanese Yen covering the 1 February 1982-31 December 1996 period. Our results suggest that the exclusion of days of US intervention implies a substantial reduction in all profitability indicators (net returns, ideal profit measure, Sharpe ratio and directional forecast), being the reduction grater in the US Dollar-Deustchmark case than in the US Dollar-Japanese yen case.
Author : Christopher J. Neely
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (453 download)
Download or read book Technical Analysis and Central Bank Intervention written by Christopher J. Neely and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Christopher J. Neely
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (247 download)
Download or read book The Temporal Pattern of Trading Rule Returns and Central Bank Intervention written by Christopher J. Neely and published by . This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Michael Frenkel
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Rule Profitability and Interventions in the Dollar-Deutschmark Market written by Michael Frenkel and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the period 1979 - 1992 for the relationship between central bank interventions in the dollar-deutschmark market and the profitability of technical trading and also investigates the profitability of interventions. While previous work on this topic has focused on the interventions of the Fed, we include Bundesbank interventions and show that there were several similarities. Our analysis yields the result that eliminating days of Fed and Bundesbank interventions makes a simple moving average trading rule unprofitable. In addition, we study the dynamics of intraday exchange rates following and preceding interventions and provide a VAR analysis on the relationship between interventions and the change in the exchange rate. The results suggest that interventions did not cause the frequently found high profits of technical trading on intervention days.
Author : Cynthia Strahm
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (885 download)
Download or read book Technical Analysis in Foreign Exchange Markets written by Cynthia Strahm and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, various moving average trading rules are tested in the foreign exchange market, i.e. the U.S. Dollar / Swiss Franc exchange rate market, in order to examine whether such strategies are able to generate significant returns and to test in a second step whether these returns are related to central bank intervention. It was possible to show that certain moving average trading rules do not only generate significant returns when being calibrated in-sample, but also when tested out-of-sample. An influence of central bank intervention on moving average trading rule returns could not be found as opposed to earlier research. However, central bank intervention data was only available on a quarterly basis and hence shorter-term effects of intervention on trading rule returns cannot be ruled out.
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 : 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 : 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 : 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 : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
