26 Pages Posted: 24 Aug 2010
Date Written: August 22, 2010
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.
Keywords: Foreign exchange, macroeconomic news, trading system
JEL Classification: G14, G19, G12
Suggested Citation: Suggested Citation
Schneller, Warwick and Vanstone, Bruce James, Predictable Responses in Currency Markets to Macroeconomic News: A Trading System Approach (August 22, 2010). 23rd Australasian Finance and Banking Conference 2010 Paper. Available at SSRN: https://ssrn.com/abstract=1663429 or http://dx.doi.org/10.2139/ssrn.1663429
By Karen Lewis