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Indice dei documenti su: Currency Market
Technical analysis on foreign exchange: 1975-2004
The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market.
Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates: First Results
It is shown in this letter that the magnitude of exchange rate overshooting is larger than in Dornbusch (1976) when chartists are introduced into the model. Also, the extent of overshooting depends inversely on the planning horizon. The latter follows from explicitly modelling the empirical observation that, for shorter planning horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer planning horizons.
Trading System for Australian Dollar using multiple moving averages and autoregressive models
This paper tested two of the simplest and most popular trading rules – Auto-Regressive Models and Moving Averages – by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. This data set was used by Tan [1995, 1997] in his study in comparing the profitability of systems based on Artificial Neural Networks and ARIMA models.
The Foreign Exchange Quoting Activity as an Informative Signal
We investigate the informative property of quoting activity, measured by the frequency of price revisions, in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model, designed for time series of count data.
