One of the striking features of the business cycles is the patterns of co-movement of output, inflation, interest rates, and real equity prices across countries. This paper empirically examines the effects of domestic and foreign monetary policies on Iranchr('39')s macroeconomic variables (including real production, inflation, short-term interest rate, and real exchange rate) using quarterly da...

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling f...

This thesis investigates the price discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated the 'disconnection' puzzle of exchange rates deviating from their fundamentals in the short and medi...

This paper investigates the returns to forward bias-trading in dynamic multi–currency strategies in order to empirically assess the limits to speculation hypothesis in foreign exchange markets. The results suggest that bias–trading strategies allow for economically significant excess returns, represent attractive diversification devices, and contain low downside risk. Furthermore, enriching car...

This paper tests whether fitted linear models can replicate results from moment tests inspired by moving average technical trading rules for weekly foreign exchange series. Estimation is performed using standard OLS and maximum likelihood methods, along with a simulated method of moments technique which incorporates the trading rule moments into the estimation procedure. Results show that linea...

We apply a simple Learning Classifier System that has previously been shown to perform well on a number of difficult continuousvalued test problems to a foreign exchange trading problem. The performance of the Learning Classifier System is compared to that of a Genetic Programming approach from the literature. The simple Learning Classifier System is able to achieve a positive excess return in ...

Candlestick charts are a type of financial chart for tracking the movement of securities. Some of the earliest technical trading analysis was used to track prices of rice in the 18th century. Some investors find them more visually appealing than the standard bar charts and the price actions easier to interpret. In technical analysis, a candlestick pattern is a movement in prices shown graphical...

this paper investigates the informational content of abnormal volume trading of shares listed at tehran stock exchange (tse) using an event study methodology. the results for a sample of 48 iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volume dates. regression analysis also shows that there is a significant relationship between trading...

This chapter examines and analyses the use of regression models in trading and investment with an application to foreign exchange (FX) forecasting and trading models. It is not intended as a general survey of all potential applications of regression methods to the field of quantitative trading and investment, as this would be well beyond the scope of a single chapter. For instance, time-varying...