Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Ramazan GenÁay, Giuseppe Ballocchi, Michel Dacorogna, Richard Olsen () and Olivier Pictet
Additional contact information
Ramazan GenÁay: University of Windsor, Canada
Giuseppe Ballocchi: Olsen & Associates, Switzerland
Olivier Pictet: Dynamic Asset Management, Switzerland
Authors registered in the RePEc Author Service: Ramazan Gencay ()

International Economic Review, 2002, vol. 43, issue 2, pages 463-492

Abstract: The contributions of this article are twofold. First, the performance of a widely used commercial real-time trading model is compared with the performance of systematic currency traders. Second, the real-time trading model is used to evaluate the statistical properties of foreign exchange rates. The out-of-sample test period is seven years of high-frequency data for four major rates. The trading model yields positive annualized returns (net of transaction costs) in all cases. The null hypothesis of whether the real-time performances of the foreign exchange series are consistent with traditional statistical processes is tested under the probability distributions of the performance measures. Copyright Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association

Date: 2002
View citations in EconPapers

Downloads: (external link)
http://openurl.ingenta.com/content?genre=article&i ... &volume=43&spage=463 (application/pdf)
Free access to full text is restricted to Ingenta subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ier:iecrev:v:43:y:2002:i:2:p:463-492

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is edited by Kenneth I. Wolpin

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association
Address: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Contact information at EDIRC.
Series data maintained by ().