کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964200 | 930490 | 2011 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for 14 developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods. But out-of-sample returns are lower and only occasionally significant. We show that a currency risk factor proposed in the literature is systematically related to these returns. We find no support for the hypotheses that falling transactions costs are responsible for declining trading profits or for the Adaptive Market hypothesis. Importantly, we show that algorithms that simulate out-of-sample returns have serious instability difficulties.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 2, April 2011, Pages 176–206
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 2, April 2011, Pages 176–206
نویسندگان
Igor Cialenco, Aris Protopapadakis,