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Detecting trends in the foreign exchange markets

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Fernandez-Perez, Adrian and Fernández-Rodríguez, Fernando and Sosvilla-Rivero, Simón (2012) Detecting trends in the foreign exchange markets. Applied Economics Letters, 19 (5). pp. 493-503. ISSN 1466-4291

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Official URL: https://doi.org/10.1080/13504851.2011.587757



Abstract

We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the shortterm pattern of the price trend. Employing a maximum likelihood method and a genetic algorithm to estimate the model parameters, in 39 of the 95 cases considered we find evidence in favour of the presence of trends, the trends being more frequent in intermediate exchange-rate regimes.


Item Type:Article
Uncontrolled Keywords:Exchange rates; Price trend model; Genetic algorithms.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > World economy
Social sciences > Economics > Finance
JEL:C53, F31, G14
ID Code:59742
Deposited On:26 Mar 2020 12:58
Last Modified:30 Mar 2020 10:56

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