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:

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.

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:

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:

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.

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.

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.

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:

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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

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:

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. "

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:

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 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.

Download or read book Advanced Trading Rules written by Emmanual Acar and published by Butterworth-Heinemann. This book was released on 2002-06-05 with total page 474 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