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

页码：591 / 597

页数：7

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