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| Author: | Gencay, R. (et al.) |
| Title: | Real-time trading models and the statistical properties of foreign exchange rates |
| Journal: | International Economic Review
2002 : MAY, VOL. 43:2, p. 463-491 |
| Index terms: | International trade Financial models Foreign exchange |
| Language: | eng |
| Abstract: | The contributions if this article are twofold. First, the performance of a widely used commercial real-time trading model is compared with the performance of systematic cyrrency traders. Second, the real-time ttading model is used to evaluate the statistical properties of foreign exchange rates. The out-of-sample test period is seven years of high-frequency data for four major rates. The trading model yields positive annualized returns. The null hypothesis of whether the real-time performances of the foreign exchange series are consistent with traditional statistical processes is tested under the probability of the performance measures. |
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