EconPapers    
Economics at your fingertips  
 

Trading the foreign exchange market with technical analysis and Bayesian Statistics

Arman Hassanniakalager, Georgios Sermpinis and Charalampos Stasinakis

Journal of Empirical Finance, 2021, vol. 63, issue C, 230-251

Abstract: In this study, the profitability of technical analysis and Bayesian Statistics in trading the EUR/USD, GBP/USD, and USD/JPY exchange rates are examined. For this purpose, seven thousand eight hundred forty-six technical rules are generated, and their profitability is assessed through a data snooping procedure. Then, the most promising rules are combined with a Naïve Bayes, a Relevance Vector Machine, a Dynamic Model Averaging, a Dynamic Model Selection and a Bayesian regularized Neural Network model. The findings show that technical analysis has value in foreign exchange trading, but the profit margins are small. On the other hand, Bayesian Statistics seems to increase the profitability of technical rules up to five times.

Keywords: Trading; Technical analysis; Foreign exchange; Bayesian averaging; Relevance Vector Machines (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539821000542
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251

DOI: 10.1016/j.jempfin.2021.07.006

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-11-18
Handle: RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251