Technical Trading Rules And Exchange Rate Volatility
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Author | : John P. C. Fell |
Publisher | : |
Total Pages | : 64 |
Release | : 1994 |
Genre | : Foreign exchange administration |
ISBN | : |
Download Technical Trading Rules and Exchange Rate Volatility Book in PDF, Epub and Kindle
Author | : Pashaar Halteh |
Publisher | : |
Total Pages | : 760 |
Release | : 2007 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Exchange Rate Volatility Book in PDF, Epub and Kindle
A 12-year sample period is employed (1990-2002), and the trading strategies are based on: (i) expectation formation mechanisms (both extrapolative and regressive), (ii) technical trading rules (both filter rules and moving average rules), and (iii) fundamental models (the purchasing power parity and uncovered interest parity models, the flexible-price monetary model, and the Hooper-Morton model). In pursuit of the second objective, each trading strategy is assigned a weight according to its profitability. Consequently, an artificial exchange rate series is simulated based upon the (weighted) buy and sell signals generated by each trading strategy. The actual and simulated exchange rate series are then compared to determine statistically whether they exhibit similar degrees of volatility. The results prove supportive of the underlying hypothesis that volatility is influenced by trader heterogeneity.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 132 |
Release | : 2004-05-19 |
Genre | : Business & Economics |
ISBN | : 1498330282 |
Download Exchange Rate Volatility and Trade Flows--Some New Evidence Book in PDF, Epub and Kindle
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Author | : Bernhard Herz |
Publisher | : |
Total Pages | : 37 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Technical Trading and the Volatility of Exchange Rates Book in PDF, Epub and Kindle
The microeconomic structure of foreign exchange markets can cause excessive volatility in flexible exchange rate regimes. The market entry of chartists changes the composition of the foreign exchange market and leads to excessive volatility. Our chartist model predicts a continuum of equilibria and an U-shaped relation between exchange rate volatility and the measured trend, which is supported by the empirical evidence. The data show a positive nonlinear relation between trend and volatility, as predicted by the model. In such a situation monetary policy may be able to smooth the exchange rate without changing macroeconomic fundamentals.
Author | : Bernhard Herz |
Publisher | : |
Total Pages | : 31 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Technical Trading, Monetary Policy, and Exchange Rate Regimes Book in PDF, Epub and Kindle
The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications it is possible to directly test the model's prediction of an U shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates.The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications it is possible to directly test the model's prediction of an U shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates.
Author | : Imad Moosa A |
Publisher | : ICFAI Books |
Total Pages | : 222 |
Release | : 2007-07-19 |
Genre | : |
ISBN | : 8131407179 |
Download The Profitability of Trading Rules and Volatility in Emerging Financial Markets Book in PDF, Epub and Kindle
This book is a study of the profitability of technical and fundamental trading rules in emerging financial markets (stock and foreign exchange markets) using Kuwait as a case study. The ultimate objective of the study is to demonstrate that financial vola
Author | : Blake LeBaron |
Publisher | : |
Total Pages | : 18 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Technical Trading Rule Profitability and Foreign Exchange Intervention Book in PDF, Epub and Kindle
There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Author | : Jean-Marie Viaene |
Publisher | : |
Total Pages | : 58 |
Release | : 1989 |
Genre | : |
ISBN | : |
Download International Trade and Exchange Rate Volatility Book in PDF, Epub and Kindle
Author | : Christopher J. Neely |
Publisher | : |
Total Pages | : 45 |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Technical Trading Rules in the European Monetary System Book in PDF, Epub and Kindle
Using genetic programming, we find trading rules that generate significant excess returns for three of four EMS exchange rates over the out-of-sample period 1986-1996. Permitting the rules to use information about the interest rate differential proved to be important. The reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability. Our results cannot be duplicated by commonly used moving average rules, filter rules or by two rules designed to exploit known features of target zone rates. There is no evidence that the excess returns are compensation for bearing systematic risk.
Author | : Stephen Satchell |
Publisher | : Butterworth-Heinemann |
Total Pages | : 314 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : |
Download Advanced Trading Rules Book in PDF, Epub and Kindle
An overview of financial markets trading rules. It shows the financial market professional and student how to apply econometrics, computer modelling, technical and quantitative analysis to financial markets trading. Also explained in this text are technical indicators, neural networks, genetic algorithms, quantitative techniques and charts.