â â â  given companies’ dynamic responses to expected exchange rate changes, this article improves on current methods of measuring exposure to foreign exchange rate changes by breaking down the spot exchange rate changes into expected changes and unexpected changes. the currency risk exposure coefficients resulting from an empirical analysis of shanghai stock exchange a share listed companies...

We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White’s (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snoo...

The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly investigated market participants’ experience and views on technical analysis. The survey literature ...

Today, in many countries, there are many banks engaging in financial derivatives trading to manage risks. This paper selects data on financial derivatives trading from US banks and FRED to analyze the effect of financial derivatives trading on US banks and its economy. The results show that the impact of total financial derivatives trading revenue on bank residual (assets less liabilities) is b...

We investigate triangular arbitrage within the spot foreign exchange market using highfrequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during mor...

This article proposes the use of recurrent neural networks in order to forecast foreign exchange rates. Artificial neural networks have proven to be efficient and profitable in forecasting financial time series. In particular, recurrent networks, in which activity patterns pass through the network more than once before they generate an output pattern, can learn extremely complex temporal sequen...

Abstract We present a novel tool for generating speculative and hedging foreign exchange (FX) trading policies. Our solution provides schedule that determines trades in each rebalancing period based on future currency prices, net account positions, incoming (outgoing) flows from business operations. To obtain such policies, we construct multistage stochastic programming (MSP) model solve it usi...