Profit-making speculation in foreign exchange markets:
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Boulder u.a.
Westview Press
1992
|
| Schriftenreihe: | The political economy of global interdependence
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002913689&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XIV, 280 S. graph. Darst. |
| ISBN: | 0813380766 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1819341124233330688 |
|---|---|
| adam_text | Contents
Preface xiii
PARTI
INTRODUCTION
1 Introduction 3
1A. Overview, 3
IB. Outline of the Book, 5
PART 2
TESTS AND DATA
2 Previous Studies of Technical Analysis 17
2A. Financial Market Efficiency, Random Walk Theory,
and Technical Analysis, 17
2B. Technical Analysis and Spot Exchange Market Efficiency, 25
2C Summary, 27
3 Statistical Tests of Risk Adjusted Profits
from Trading Rules: TheX Test 29
3A. Previous Tests of Profits from Technical Analysis, 30
3B. Speculating on a Single Asset, 31
3G The X Test for Portfolio Performance, Using a
No Rebalancing Buy and Hold Benchmark, 37
3D. The X Test for Portfolio Performance, Using a
Rebalancing Buy and Hold Benchmark, 40
3E. The X Test for Single Asset Speculation, 45
3F. The Normality Assumption, the Stationarity of the
Returns Distributions, and the X Statistics, 46
3G. An Alternative Nonparametric Test, 52
3H. Conclusion, 54
4 Selecting Trading Rules 61
4A. Trading Rules, 62
4B. Formation of Expectations Regarding the Optimum
Parameters for Technical Trading Rules, 64
4C Short Sales, the Interest Rate Differential, and Risk, 67
ix
4D. Transactions Costs, 70
4E. Data and Period of Study, 72
4F. Summary, 73
PART 3
PERFORMANCE OF TECHNICAL STRATEGIES
5 Equally Weighted Portfolios of Currencies,
with Rules Tailored for Each Currency 81
5A. Terminology and Scalings, 82
5B. Best Rules in the Prior Periods, 84
5C. Out of SampIe Results Using Alexander Filter Rules, 87
5D. Out of SampIe Results Using Double Moving Average
Rules, 89
5E. Out of Sample Results Using Single Moving Average
Rules, 90
5F. Out of Sample Results Using Mixed Rules, 92
5G. The Effects of Changes in Transactions Costs on the
Significance of the X Statistics, 93
5H. Comparison of the Performance of Trading
Techniques, 94
51. Conclusion, 95
6 Variably Weighted Portfolios of Currencies,
with Rules Tailored for Each Currency 129
6A. Best Rules in the Prior Periods, 130
6B. Results of Speculation, 131
6C Sensitivity of the Statistical Results to the Level of
Transactions Costs, 133
6D. Some Conclusions, 134
7 Speculating on Indexes of Currencies 141
7A. Choosing Indexes for Speculation, 142
7B. Best Rules in the Prior Periods, 145
7C Results of Speculation, 147
7D. Sensitivity of the Statistical Results to the Level of
Transactions Costs, 149
8 Speculating with a Portfolio Upgrade Approach 173
8A. Using the Portfolio Upgrade Approach, 174
8B. Best Rules in the Prior Periods, 174
8C Results of Speculation, 175
8D. Sensitivity of the Statistical Results to the Level
of Transactions Costs, 176
x
9 Comparing the Performance of Technical
Trading Strategies 183
9 A. Comparing the Performances of the Technical
Trading Rules, 184
9B. Comparing the Performances of the Variably
Weighted Portfolio, Index, and Portfolio Upgrade
Approaches, 185
9C The Equally Weighted versus the Variably
Weighted, Index, and Portfolio Upgrade Approaches, 187
9D. Subperiod Results, 189
9E. Conclusions, 190
PART 4
STABILITY OF SPECULATIVE PROFITS
10 The Stability of Speculative Profits 203
10A. Importance of the Stability of Speculative Profits, 203
10B. The Measurement of Performance, 206
10C. Approaches to Technical Training, 207
10D. Choosing Filter Sizes and Lag Lengths, and the
Stability of Profits Over Time, 208
10E. When to Change Filter Sizes and Lag Lengths? 213
10F. Have Speculative Profits Declined Over Time? 215
10G. Conclusions, 218
PART 5
IMPLICATIONS FOR POLICYMAKERS
11 Implications for the Theory and Practice of
Financial Economics 239
11 A. Summary of Results on Speculation, 240
1 IB. Are These Measured Profits True Economic Profits? 243
11C Are the Measured Profits Simply Compensation for
Bearing Risk? 246
11D. Implications for Private Policymakers, 250
12 Implications for Public Policymakers 255
Bibliography 263
About the Book and Authors 273
Index 275
xi
|
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| id | DE-604.BV004735690 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T08:22:12Z |
| institution | BVB |
| isbn | 0813380766 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002913689 |
| oclc_num | 22892820 |
| open_access_boolean | |
| owner | DE-12 DE-384 DE-739 DE-188 |
| owner_facet | DE-12 DE-384 DE-739 DE-188 |
| physical | XIV, 280 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Westview Press |
| record_format | marc |
| series2 | The political economy of global interdependence |
| spellingShingle | Surajaras, Patchara Sweeney, Richard J. Profit-making speculation in foreign exchange markets Foreign exchange futures Foreign exchange market Profit (DE-588)4130631-4 gnd Devisenmarkt (DE-588)4139011-8 gnd Devisenspekulation (DE-588)4194726-5 gnd Devisentermingeschäft (DE-588)4149416-7 gnd |
| subject_GND | (DE-588)4130631-4 (DE-588)4139011-8 (DE-588)4194726-5 (DE-588)4149416-7 |
| title | Profit-making speculation in foreign exchange markets |
| title_auth | Profit-making speculation in foreign exchange markets |
| title_exact_search | Profit-making speculation in foreign exchange markets |
| title_full | Profit-making speculation in foreign exchange markets Patchara Surajaras and Richard J. Sweeney |
| title_fullStr | Profit-making speculation in foreign exchange markets Patchara Surajaras and Richard J. Sweeney |
| title_full_unstemmed | Profit-making speculation in foreign exchange markets Patchara Surajaras and Richard J. Sweeney |
| title_short | Profit-making speculation in foreign exchange markets |
| title_sort | profit making speculation in foreign exchange markets |
| topic | Foreign exchange futures Foreign exchange market Profit (DE-588)4130631-4 gnd Devisenmarkt (DE-588)4139011-8 gnd Devisenspekulation (DE-588)4194726-5 gnd Devisentermingeschäft (DE-588)4149416-7 gnd |
| topic_facet | Foreign exchange futures Foreign exchange market Profit Devisenmarkt Devisenspekulation Devisentermingeschäft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002913689&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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