Searching for Inefficiencies in Exchange Rate Dynamics
Анотація
This paper develops a new pair trading method to detect inefficiencies in exchange rates movements and arbitrage opportunities using a convergence/divergence indicator (CDI) belonging to the oscillatory class. The proposed technique is applied to 11 exchange rates over the period 2010–2015, and trading rules based on CDI signals are obtained. The CDI indicator is shown to outperform others of the oscillatory class and in some cases (for EURAUD and AUDJPY) to generate profits. The suggested approach is of general interest and can be applied to different financial markets and assets.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis · Monetary Policy and Economic Impact
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis · Monetary Policy and Economic Impact
ANALYSIS OF STOCK MARKET INDICES AS THE MAIN INDICATORS OF STOCK EXCHANGE MARKET DEVELOPMENT AT SELECTED WORLD ECONOMIES
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis · Monetary Policy and Economic Impact
ENTROPY INDICATORS FOR AN ESTIMATION OF CURRENCY RISKS
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis · Monetary Policy and Economic Impact
ESTIMATING INFLATION AND INFLATION EXPECTATIONS BASED ON A MARKOV-SWITCHING VECTOR AUTOREGRESSION APPROACH: CASE OF UKRAINE
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis · Monetary Policy and Economic Impact
Short-Term Price Overreactions: Identification, Testing, Exploitation
Схоже за: Market Dynamics and Volatility · Complex Systems and Time Series Analysis