Components of the Profitability of Technical Currency Trading
作者： Stephan Schulmeister
DOI: 10.2139/SSRN.1714394
关键词:
摘要: This paper investigates the sources of profitability 1024 moving average and momentum models when trading in German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each these would have been profitable over entire sample period. Second, this is exclusively due to exploitation persistent exchange rate trends. Third, do not change substantially examined within subperiods. Fourth, 25 best performing in-sample period were also out most cases. Fifth, technical (euro)/U. S. has significantly lower since late 1980s compared first 15 years floating
sci-hub.se 参考文章(72)
Stephan Schulmeister, Michael Goldberg, Technical Analysis And Stock Market Efficiency Research Papers in Economics. ,(1988)
James D Hamilton, Charles Engel, Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Review. ,vol. 80, pp. 689- 713 ,(1990)
Perry J. Kaufman, The New Commodity Trading Systems and Methods ,(1987)
L. Menkhoff, M. Schlumberger, Persistent profitability of technical analysis on foreign exchange markets PSL Quarterly Review. ,vol. 48, pp. 189- 215 ,(1995) , 10.13133/2037-3643/10506
Lukas Menkhoff, The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis Research Papers in Economics. ,(2006)
Abeyratna Gunasekarage, David M Power, The profitability of moving average trading rules in South Asian stock markets Emerging Markets Review. ,vol. 2, pp. 17- 33 ,(2001) , 10.1016/S1566-0141(00)00017-0
Riccardo Curcio, Charles Goodhart, Dominique Guillaume, Richard Payne, Do technical trading rules generate profits? Conclusions from the intra‐day foreign exchange market International Journal of Finance & Economics. ,vol. 2, pp. 267- 280 ,(1997) , 10.1002/(SICI)1099-1158(199710)2:4<267::AID-JFE57>3.0.CO;2-J
M. A. H. Dempster, C. M. Jones, Can channel pattern trading be profitably automated European Journal of Finance. ,vol. 8, pp. 275- 301 ,(2002) , 10.1080/13518470110052831
Robert Hudson, Michael Dempsey, Kevin Keasey, A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994 Journal of Banking and Finance. ,vol. 20, pp. 1121- 1132 ,(1996) , 10.1016/0378-4266(95)00043-7