Market Microstructure and the Profitability of Currency Trading

被引：4
|
作者：
Osler, Carol [1 ]
机构：
[1] Brandeis Univ, Int Business Sch, Waltham, MA 02453 USA
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 | 2012年 / 4卷
关键词：
carry trade; technical analysis; skewness; liquidity; EXCHANGE-RATE DYNAMICS; TECHNICAL ANALYSIS; PRICE DISCOVERY; RULE PROFITS; ORDER FLOW; LIQUIDITY; RETURNS; ASK; SEGMENTATION; MANAGEMENT;
D O I：
10.1146/annurev-financial-110311-101726
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Currency trading is a vast and highly profitable business. This review examines the profitability of two popular currency trading strategies in light of currency-market microstructure research. The carry-trade strategy involves borrowing a low-interest currency and investing the proceeds in a high-interest currency. Technical trading strategies are determined exclusively on the basis of past asset prices and trading volumes. Under the efficient markets hypothesis, neither of these approaches to speculative trading should produce excess returns. The review shows that the profitability of carry-trade investing and technical trading strategies can represent rational long-run equilibria given the structure of currency markets and the incentives and constraints faced by traders.
引用
下载
收藏
页码：469 / 495
页数：27
相关论文
共 50 条
  • [1] Predictability, trading rule profitability and learning in currency markets
    Poti, Valerio
    Levich, Richard M.
    Pattitoni, Pierpaolo
    Cucurachi, Paolo
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 33 : 117 - 129
  • [2] Can risk explain the profitability of technical trading in currency markets?
    Ivanova, Yuliya
    Neely, Christopher J.
    Weller, Paul
    Famiglietti, Matthew T.
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2021, 110
  • [3] IN CLASSICAL ATHENS, A MARKET TRADING IN THE CURRENCY OF IDEAS
    FLEISCHMAN, J
    SMITHSONIAN, 1993, 24 (04) : 38 - &
  • [4] The profitability of technical trading rules in the Bitcoin market
    Gerritsen, Dirk F.
    Bouri, Elie
    Ramezanifar, Ehsan
    Roubaud, David
    FINANCE RESEARCH LETTERS, 2020, 34
  • [5] Impact of stock market trading on currency market volatility spillovers
    Baklaci, Hasan Fehmi
    Aydogan, Berna
    Yelkenci, Tezer
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 52
  • [6] BLACK-MARKET CURRENCY TRADING AND THE WEEKEND EFFECT
    LEVINE, P
    AKRON BUSINESS AND ECONOMIC REVIEW, 1988, 19 (01): : 64 - 70
  • [7] Dynamic volatility trading strategies in the currency option market
    Guo D.
    Review of Derivatives Research, 2000, 4 (2) : 133 - 154
  • [8] Profitability of technical trading strategies under market manipulation
    Alfred Ma
    Financial Innovation, 8
  • [9] Profitability of technical trading rules in the Chinese stock market
    Chuang, O. -Chia
    Chuang, Hui -Ching
    Wang, Zixuan
    Xu, Jin
    PACIFIC-BASIN FINANCE JOURNAL, 2024, 84
  • [10] PROFITABILITY OF TECHNICAL TRADING RULES IN THE BRAZILIAN STOCK MARKET
    Luis Miralles-Quiros, Jose
    del Mar Miralles-Quiros, Maria
    Valente Goncalves, Luis Miguel
    REVISTA EVIDENCIACAO CONTABIL & FINANCAS, 2018, 6 (02): : 133 - 150
12345