This paper examines the performance of momentum trading strategies in foreign exchange
markets. We find the well-documented profitability of momentum strategies during the 1970s …

We analyze the intertemporal stability of excess returns to technical trading rules in the
foreign exchange market by conducting true, out-of-sample tests on previously studied rules …

Technical analysis is the use of past price behavior and/or other market data, such as
volume, to guide trading decisions in asset markets. These decisions are often generated by …

This paper characterizes the temporal pattern of trading rule returns and official intervention
for Australian, German, Swiss and US data to investigate whether intervention generates …

Moving average trading rules are utilized in both futures and spot foreign currency markets
to show that significant, positive profits can be earned in four of five currencies examined …

The predictability of future returns on bond portfolios at daily frequency is investigated using
a large universe of mechanical trading rules that have been popularized in literature on …

This article reconciles an apparent contradiction found by recent research on US
intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) …

Currency Strategy, Second Edition develops new techniques and explains classic tools
available for predicting, managing, and optimizing fluctuations in the currency markets …

In this paper, we develop a momentum trading strategy based on the low frequency trend
component of the spot exchange rate. Using kernel regression and the high-pass filter of …

In 1938, Frederick Macaulay published his classic book, Some Theoretical Problems
Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United …