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Título:
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Exploiting trends in the foreign exchange markets
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Autores:
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Fernandez-Perez, Adrian ;
Fernández-Rodríguez, Fernando ;
Sosvilla-Rivero, Simón
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Tipo de documento:
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texto impreso
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Editorial:
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Taylor & Francis, 2012
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Economía internacional
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Materia = Ciencias Sociales: Economía: Finanzas
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Tipo = Artículo
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/59745/1/Exploiting%20trends-Fern%C3%A1ndez-P%C3%A9rez%28Postprint%29.pdf
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