Technical Trading Rules and Regime Shifts in Foreign Exchange

  title={Technical Trading Rules and Regime Shifts in Foreign Exchange},
  author={Blake LeBaron},
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


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