Does frequency matter for intraday technical trading?

被引：10

作者：

Frommel, Michael ^{[1
]}

Lampaert, Kevin ^{[1
]}

机构：

[1] Univ Ghent, Dept Financial Econ, Sint Pieterspl 5, B-9000 Ghent, Belgium

来源：

FINANCE RESEARCH LETTERS | 2016年 / 18卷

关键词：

Foreign exchange; Technical analysis; Intraday; Emerging markets; FOREIGN-EXCHANGE MARKETS; CENTRAL BANK INTERVENTION; RULE PROFITS; PROFITABILITY; BOOTSTRAP; DEALERS;

D O I：

10.1016/j.frl.2016.04.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the impact of frequency on the intradaily profitability of more than 8000 technical trading rules using an extensive and unexplored sample of intraday data for the Russian Ruble US Dollar foreign exchange market. The results indicate that technical trading profits seem much more present on a higher frequency basis. The adjustment for real, rather than estimated transaction costs wipes away most of the profits. However, we do find evidence that technical trading rules applied at a sufficiently high frequency generate superior returns when the central bank conducts a stabilizing exchange rate policy. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：177 / 183

页数：7

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