RT Journal Article
T1 Detecting trends in the foreign exchange markets
A1 Fernández-Pérez, Adrian
A1 Sosvilla Rivero, Simón Javier
AB We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the shortterm pattern of the price trend. Employing a maximum likelihood method and a genetic algorithm to estimate the model parameters, in 39 of the 95 cases considered we find evidence in favour of the presence of trends, the trends being more frequent in intermediate exchange-rate regimes.
PB Taylor & Francis
SN 1466-4291
YR 2012
FD 2012
LK https://hdl.handle.net/20.500.14352/42994
UL https://hdl.handle.net/20.500.14352/42994
LA eng
NO Ministerio de Ciencia e Innovación (MICINN)
DS Docta Complutense
RD 28 abr 2026