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Technical analysis on foreign exchange: 1975-2004


Bank for International Settlements (2002): “Triennial Central Bank Survey: Foreign exchange and derivatives market activity in 2001”. March 2002. This publication is available on the BIS website www.bis.org

Brock, William; Josef Lakonishok and Blake LeBaron (1992): “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns”. Journal of Finance, 47, 5, 1731-1764.

Cheung, Yin-Wong and Menzie D. Chinn (2000): “Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market”. Working Paper 251, CESifo Working Paper Series.

Cheung, Yin-Wong; Menzie D. Chinn and Ian W. Marsh (2000): "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?" NBER Working Papers 7524, National Bureau of Economic Research, Inc.

Dooley, M. and Shafer, J. (1976): “Analysis of short-run exchange rate behavior: March 1973 to September 1975”. International Finance Discussion Paper 123, Federal Reserve Board, Washington DC.

Gencay, R. (1999): “Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules”. Journal of International Economics 47, 91- 107.

Fama, Eugene F. (1970): “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance (May), 383-417.

Fama, Eugene F. and Marshall Blume (1966): “Filter rules and stock market trading profits”. Journal of Business 39, 226-241.

Hutcheson, Tiffany (2000): “Trading in the Australian foreign exchange market”. Working paper 107, School of Finance and Economics, University of Technology, Sydney, Australia.

Kho, B. (1996): “Time-varying risk premia, volatility and technical trading rule profits: evidence from foreign currency futures markets”. Journal of Financial Economics 41, 249-290.

LeBaron, B. (1999): “Technical trading rule profitability and foreign exchange intervention”. Journal of International Economics 49, 126-143.

Levich, Richard M., and Lee R. Thomas (1993): “The significance of technical tradingrule profits in the foreign exchange market: a bootstrap approach.” Journal of International Money and Finance, October, pp. 451-74.

Menkhoff, Lukas (1997): “Examining the use of technical currency analysis.” International Journal of Finance & Economics, 2, 307-18.

Meese, Richard A., and Kenneth Rogoff (1983): “Empirical exchange rate models of the seventies: do they fit out of sample?” Journal of International Economics (February), 3-24.

Murphy, John J. (1986): “Technical analysis of the futures markets.” NYIF, Prentice- Hall, New York.

Neely, C. (1997): "Technical analysis in the foreign exchange market: a layman's guide". Federal Reserve Bank of St. Louis Review, September/October, 79(5), 23-38.

Neely, C. and Weller, P. (2001): “Technical analysis and central bank intervention”. Journal of International Money and Finance 20, 949-970.

Osler, Carol L., and P. H. Kevin Chang (1995): “Head and shoulders: not just a flaky pattern.” Federal Reserve Bank of New York Staff Paper 4, August.

Samuelson, Paul (1965): “Proof that properly anticipated prices fluctuate randomly.” Industrial Management Review, pp. 41-49.

Sweeney, R. (1986): “Beating the foreign exchange market”. Journal of Finance 41, 163-182.

Taylor, Mark and Allen, Helen (1992): “The Use of Technical Analysis in the Foreign Exchange Market”. Journal of International Money and Finance, 11, 304–314.

Timmermann, Allan; Sullivan, R.; White, H. (1999): “Data-Snooping, Technical Trading Rules and the Bootstrap”. Journal of Finance 54, 5, 1647-1692.

Prof. F. Rubio

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