| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10018
|
| DP10018 Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market |
| Mark Taylor; Po-Hsuan Hsu
|
| 发表日期 | 2014-06-08
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over a maximum of forty years for thirty developed and emerging market currencies. Employing a stepwise test to safeguard against data-snooping bias and examining over 21,000 technical trading rules, we find evidence of substantial predictability in both developed and emerging markets, measured against a variety of returns and risk-adjusted performance metrics. We present time-series and cross-sectional variation in sub-periods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity lead to technical predictability and potential profitability. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Data-snooping bias
Foreign exchange
Technical analysis
Trading rules
|
| URL | https://cepr.org/publications/dp10018
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538850
|
推荐引用方式
GB/T 7714 |
Mark Taylor,Po-Hsuan Hsu. DP10018 Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market. 2014.
|
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