Real-time trading models and the statistical properties of foreign exchange rates

International Economic Review

Volumn 43, Issue 2, 2002, Pages 463-491

  Gençay, Ramazan ^a   Ballocchi, Giuseppe ^a   Dacorogna, Michel ^a   Olsen, Richard ^a   Pictet, Olivier ^a  

^a UNIVERSITY OF WINDSOR   (Canada)

Author keywords

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Indexed keywords

EID: 0036049104     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2354.t01-2-00023     Document Type: Article

References (28)

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6. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market
7. Heterogeneous real-time trading strategies in the foreign exchange market
8. Effective return, risk aversion and drawdowns
9. The predictability of security returns with simple technical trading rules
10. Linear, nonlinear and essential foreign exchange prediction with simple technical rules
11. On the intra-daily performance of GARCH processes
12. A unified theory of underreaction, momentum trading, and overreaction in asset markets
13. Technical trading rules and regime shifts in foreign exchange
14. The significance of technical trading-rule profits in the foreign exchange market: A bootstrap approach
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16. Specially weighted moving averages with repeated application of the EMA operator
17. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis
18. A trading model performance measure with strong risk aversion against drawdowns
19. Volatilities of different time resolutions: Analyzing the dynamics of market components
20. Real-time trading models for foreign exchange rates
21. Mutual fund performance
22. The sharpe ratio
23. Data-snooping, technical trading rules and the bootstrap
24. Operators on inhomogeneous time series