Currency Market - Foreign Exchange

Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates: First Results

It is shown in this letter that the magnitude of exchange rate overshooting is larger than in Dornbusch (1976) when chartists are introduced into the model. Also, the extent of overshooting depends inversely on the planning horizon. The latter follows from explicitly modelling the empirical observation that, for shorter planning horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer planning horizons. Prof. Mikael Bask

Trading System for Australian Dollar using multiple moving averages and autoregressive models

This paper tested two of the simplest and most popular trading rules – Auto- Regressive Models and Moving Averages – by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. This data set was used by Tan [1995, 1997] in his study in comparing the profitability of systems based on Artificial Neural Networks and ARIMA models. Dr. Clarence N W Tan and Herlina Dihardjo

Technical analysis on foreign exchange: 1975-2004

The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Prof. Fernando Rubio

The Foreign Exchange Quoting Activity as an Informative Signal

We investigate the informative property of quoting activity, measured by the frequency of price revisions, in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model, designed for time series of count data. By Dr Walid Ben Omrane and Andréas Heinen

Predictibilite et Profitabilite des figures Chartistes

Ce papier étudie la sensibilité de la prédictibilité et de la profitabilité des figures chartistes aux fréquences d’observations, types de cours et à la nature des méthodes de détection. Les différentes figures étudiées présentent un pouvoir prédictif supérieur à 50% et l’adoption des règles de trading sousjacentes aux figures génère des profits significatifs. Prof. Walid Ben Omrane et Hervé Van Oppens