Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies

Autor:	Igor Cialenco, Aris Protopapadakis
Rok vydání:	2011
Předmět:	Economics and Econometrics Alternative trading system Trading turret Financial economics Pairs trade computer.software_genre Electronic trading Adaptive market hypothesis Economics Algorithmic trading Foreign exchange risk computer Foreign exchange market Finance
Zdroj:	Journal of International Financial Markets, Institutions and Money. 21:176-206
ISSN:	1042-4431
DOI:	10.1016/j.intfin.2010.10.001
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b91ae8948c4581c1d7f3f0384318092e https://doi.org/10.1016/j.intfin.2010.10.001 Zobrazit plný text záznamu Full Text from ScienceDirect