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High Frequency Exchange Rate Forecasting

In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low and Close prices of daily exchange rates. Since, for a given exchange rate, it can be shown that these prices have different time series properties, it is possible to explore the structural relationships between them using multivariate cointegration methods.

By Prof. Ronald MacDonald, Prof. Norbert Fiess

Summary:

•Abstract

•The Stochastics

•Data Sources and Preliminary Statistics

•Structural Econometric Modelling

•Cointegration and the Stochastics

•Structural Econometric Forecasting Models

•Out-of-Sample Forecasting Results

•Assessing the profitability of the forecasting models

•Profitability

•Buy & Hold

•Risk Adjustment

•Conclusion

•Appendix

•Bibliography

•Books

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