Trading rule profits in european currency spot cross-rates

Lee, Chun I.; Mathur, Ike

doi:10.1016/0378-4266(95)00037-2

Cited by 64 publications

(44 citation statements)

References 10 publications

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“…To the extent that this objective has been achieved, it would be expected to have had a negative impact on the profitability of any trading rule that takes positions in the currencies of member countries. Indeed, Lee and Mathur (1996) find little evidence of profitable trading rules for European cross-rates.…”

Section: Mechanism (Erm) Of the European Monetary System (Ems) One Pmentioning

confidence: 93%

Technical trading rules in the European Monetary System

Neely

Weller

1999

Journal of International Money and Finance

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Section: Mechanism (Erm) Of the European Monetary System (Ems) One Pmentioning

confidence: 93%

Technical trading rules in the European Monetary System

Neely

Weller

1999

Journal of International Money and Finance

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“…Lee et al (2001) found MA trading rule profitability for Latin American currencies applying out of sample-tests. European cross rates seem to exhibit no MA trading rule profitability, which may be due to the presence of the EMS (Lee and Mathur, 1996). However, Neely and Weller (1999) constructed trading rules by a genetic programming approach generating excess return for EMS exchange rates.…”

Section: The Chartist and Fundamentalist Exchange Rate Modelmentioning

confidence: 99%

Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate

Ahrens¹,

Reitz

2003

SSRN Journal

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Abstract:In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested atheoretical models like the popular segmented trends model suggested by Engel and Hamilton (1990) are rejected in favour of the multi agent model. Moreover, the c&f regime switching model seems to describe the data much better than a competing regime switching GARCH(1,1) model. Finally, our findings turned out to be relatively robust when estimating the model in subsamples. The empirical results suggest that the model is able to explain daily DM/Dollar forward exchange rate dynamics from 1982 to 1998. JEL Classification: F31, F37, C32, G12, G15

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“…Gencay and Stengos (1998) found that the key advantage behind the moving average rule is that it provides a means of determining the general direction or trend of a market based on historical behavior of stock prices. The added advantage of the moving average rule is the ability to capture information in non-linear timeseries prices that are usually ignored by methods that assume linearity (Lee and Mathur, 1996).…”

Section: Introductionmentioning

confidence: 99%

“…Hence, to outperform financial markets, increasingly sophisticated trading rules are required (Lee and Mathur, 1996;Olson, 2004) due to increasing efficient market conditions in established markets (Fama, 1995;Black, 1971).…”

Section: Introductionmentioning

confidence: 99%