Exploiting trends in the foreign exchange markets

被引：2
|
作者：
Fernandez-Perez, Adrian
Fernandez-Rodriguez, Fernando
Sosvilla-Rivero, Simon [1 ]
机构：
[1] Univ Complutense Madrid, Dept Econ Cuantitativa, Fac Ciencias Econ & Empresariales, Madrid 28223, Spain
来源：
APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 06期
关键词：
exchange rates; price trend model; genetic algorithms; trading rules; MOMENTUM PROFITS; NONLINEARITIES; MODELS;
D O I：
10.1080/13504851.2011.589801
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We offer further evidence on the relevance of technical trading in exchange-rate 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-step-ahead 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.
引用
收藏
页码：591 / 597
页数：7
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