We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system’s principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of price series from multiple instruments as input data. This latter feature constitutes an innovation with respect to previous works documented in literature. ...

Views stated in Policy Discussion Papers are those of the authors and not necessarily those of the Federal Reserve Bank of Cleveland or of the Board of Governors of the Federal Reserve System. Materials may be reprinted, provided that the source is credited. Please send copies of reprinted materials to the editor. In this paper we provide a survey of the payment literature in a unifi ed framewo...

Many recent papers have documented the existence of periodicities in returns, return volatility, bid-ask spreads and trading volume, in both equity and foreign exchange markets. In this paper, we propose and employ a new test for detecting subtle periodicities in financial markets based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. ...

Many recent papers have documented periodicities in returns, return volatility, bid– ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function.The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coher...

The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the simul...

Many recent papers have documented the existence of periodicities in returns, return volatility, bidask spreads and trading volume, in both equity and foreign exchange markets. In this paper, we propose and employ a new test for detecting subtle periodicities in time-series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Ov...

T his study investigates the effects of extra-ECOWAS merchandise trade and investment flows on the transmission of business cycles in the selected ECOWAS between 1985 and 2014.  The study finds that total trade and foreign direct investment (FDI) significantly influence the transmission of business cycles with elasticities of 1.1 and 0.7, respectively in the long run. There are little vari...

Tremendous changes are occurring in financial markets and trading organizations as a result of technology developments. These advances in IT have created significant opportunities for economies of scale, reduced transaction costs, and enhanced trading liquidity. New market systems also create major risks for exchanges and their operators stemming as a result of competitive forces unleashed by o...

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns...