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Exploiting trends in the foreign exchange markets

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Fernandez-Perez, Adrian and Fernández-Rodríguez, Fernando and Sosvilla-Rivero, Simón (2012) Exploiting trends in the foreign exchange markets. Applied Economics Letters, 19 (6). pp. 591-597. ISSN 1466-4291

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Official URL: https://doi.org/10.1080/13504851.2011.589801



Abstract

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.


Item Type:Article
Uncontrolled Keywords:Exchange rates; Price trend model; Genetic algorithms; Trading rules.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > World economy
Social sciences > Economics > Finance
JEL:C53, F31, G14
ID Code:59745
Deposited On:26 Mar 2020 13:13
Last Modified:30 Mar 2020 10:58

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