|
|
|
|
||||
|
||||
Predictable Responses in Currency Markets to Macroeconomic News: A Trading System ApproachWarwick SchnellerBond University - Finance Bruce James VanstoneBond University August 22, 2010 23rd Australasian Finance and Banking Conference 2010 Paper Abstract: This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.
Number of Pages in PDF File: 26 Keywords: Foreign exchange, macroeconomic news, trading system JEL Classification: G14, G19, G12 working papers seriesDate posted: August 24, 2010Suggested Citation |
|
|||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.407 seconds
