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Foreign exchange trading models and market behavior
16 references·2 citing·40 second hop
Foreign exchange trading models and market behavior (2003)Foreign exchange trading models and marke…Technical trading rules and regime shifts in foreign exchange (2002)Technical trading rules and r…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (1999)Linear, non-linear and essent…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…The Sharpe Ratio (1994)The Sharpe RatioDecisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Decisions with Multiple Objectives—Preferences and Value Tradeoffs (1977)Decisions with Multiple Objec…Mutual Fund Performance (1966)Mutual Fund PerformanceTechnical Analysis in the Foreign Exchange Market (2012)Technical Analysis in the For…Technical Analysis in the Foreign Exchange Market (2011)Technical Analysis in the For…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Design and Analysis of Simulated Consumer Choice or Allocation Experiments: An Approach Based on Aggregate Data (1983)Measurement of health state utilities for economic appraisal (1986)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.8,369 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1977Decisions with Multiple Objectives—Preferences and Value Tradeoffs1,743 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach472 cited
  • 1999Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules

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305 cited
  • 2002Technical trading rules and regime shifts in foreign exchange90 cited
  • Cited by

    • 2012Technical Analysis in the Foreign Exchange Market34 cited
    • 2011Technical Analysis in the Foreign Exchange Market32 cited