Technical Trading Rules and Regime Shifts in Foreign Exchange

@inproceedings{LeBaron1998TechnicalTR,
  title={Technical Trading Rules and Regime Shifts in Foreign Exchange},
  author={Blake LeBaron},
  year={1998}
}
This paper performs tests on several different foreign exchange series using a methodology inspired by technical trading rules. Moving average based rules are used as specification tests on the process for foreign exchange rates. Several models for regime shifts and persistent trends are simulated and compared with results from the actual series. The results show that these simple models can not capture some aspects of the series studied. Finally, the economic significance of the trading rule… CONTINUE READING

Citations

Publications citing this paper.
Showing 1-10 of 35 extracted citations

Knowledge-intensive genetic discovery in foreign exchange markets

IEEE Trans. Evolutionary Computation • 2002
View 4 Excerpts
Highly Influenced

In Quest of the Philosophers' Stone: Nonlinearities and Volatility in Financial Series

Renzo G. Avesani, Lucia Buzzigoli, Giampiero M. Gallo
1996
View 7 Excerpts
Highly Influenced

Chaos in Oil Prices ? Evidence from Futures Markets

Bahram Adrangia, Arjun Chatratha, Kanwalroop Kathy Dhandaa, Kambiz Raffieeb
2017
View 1 Excerpt

Prediction Models of Financial Markets Based on Multiregression Algorithms

The Computer Science Journal of Moldova • 2011
View 2 Excerpts

References

Publications referenced by this paper.
Showing 1-10 of 35 references

Empirical Exchange Rate Models of the Seventies: Do They Fit

R. Meese, K. Rogoff
Without Numerical Integration • 1983
View 5 Excerpts
Highly Influenced

Bootstrap Methods: Another Look at the Jackknife

B. Efron
The Annals of Statistics 7 • 1979
View 5 Excerpts
Highly Influenced

Simulation Estimation of Time-Series Models

Lee, Bong-Soo, Beth F. Ingram.
Journal of Econometrics 47 : 197-205. • 1991

Chartists, Fundamentalists, and Trading in the Foreign Exchange Market

Frankel, A. Jeffrey, Kenneth A. Froot.
American Economic Review 80 (2) : 181-185. • 1990

Explaining Forward Rate Prediction Errors

Ambler, Steve, Paul Boothe
1990

Forecast Improvements Using a Volatility Index

LeBaron, Blake.
University of Wisconsin, Madison, Wisconsin. • 1990

Long Swings in the Dollar: Are They in the Data

Engle, Charles, James D. Hamilton
1990

Nonparametric Exchange Rate Prediction

Diebold, X Francis, James M. Nason
Journal of International Economics • 1990

Rewards Available to Currency Futures Speculators: Compensation

Taylor, J Stephen
1990

Unobserved Component Time Series Models wth ARCH Disturbances

A. C. Harvey, E. Ruiz.
London School of Economics, • 1990

Similar Papers

Loading similar papers…