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Exploiting trends in the foreign exchange markets

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dc.contributor.authorFernandez-Perez, Adrian
dc.contributor.authorFernández-Rodríguez, Fernando
dc.contributor.authorSosvilla Rivero, Simón Javier
dc.date.accessioned2023-06-20T00:48:13Z
dc.date.available2023-06-20T00:48:13Z
dc.date.issued2012
dc.description.abstractWe 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.
dc.description.departmentDepto. de Análisis Económico y Economía Cuantitativa
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.sponsorshipMinisterio de Ciencia e Innovación (MICINN)
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/59745
dc.identifier.doi10.1080/13504851.2011.589801
dc.identifier.issn1466-4291
dc.identifier.officialurlhttps://doi.org/10.1080/13504851.2011.589801
dc.identifier.urihttps://hdl.handle.net/20.500.14352/42995
dc.issue.number6
dc.journal.titleApplied Economics Letters
dc.language.isoeng
dc.page.final597
dc.page.initial591
dc.publisherTaylor & Francis
dc.relation.projectID(ECO2008- 05565 and ECO2010-21318)
dc.relation.projectIDINNOVA CANARIAS 2020.
dc.rights.accessRightsopen access
dc.subject.jelC53
dc.subject.jelF31
dc.subject.jelG14
dc.subject.keywordExchange rates
dc.subject.keywordPrice trend model
dc.subject.keywordGenetic algorithms
dc.subject.keywordTrading rules.
dc.subject.ucmEconometría (Economía)
dc.subject.ucmEconomía internacional
dc.subject.ucmFinanzas
dc.subject.unesco5302 Econometría
dc.subject.unesco5310 Economía Internacional
dc.titleExploiting trends in the foreign exchange markets
dc.typejournal article
dc.volume.number19
dspace.entity.typePublication
relation.isAuthorOfPublication13e83682-e923-4f28-a770-1140d295a334
relation.isAuthorOfPublication.latestForDiscovery13e83682-e923-4f28-a770-1140d295a334

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