Predictable responses in currency markets to macroeconomic news: A trading system approach

Warwick Schneller; Bruce J Vanstone

doi:10.2139/ssrn.1663429

Predictable responses in currency markets to macroeconomic news: A trading system approach

Warwick Schneller
, Bruce J Vanstone

Bond University

Allbwn ymchwil: Cyfraniad at gynhadledd › Papur

Crynodeb

This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.

Iaith wreiddiol	Saesneg
Tudalennau	1--26
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.2139/ssrn.1663429
Statws	Cyhoeddwyd - 2010
Cyhoeddwyd yn allanol	Ie

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10.2139/ssrn.1663429

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title = "Predictable responses in currency markets to macroeconomic news: A trading system approach",

abstract = "This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.",

author = "Warwick Schneller and Vanstone, \{Bruce J\}",

note = "23rd Australasian Finance and Banking Conference 2010 ; Conference date: 15-12-2010 Through 17-12-2010",

year = "2010",

doi = "10.2139/ssrn.1663429",

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PY - 2010

Y1 - 2010

N2 - This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.

AB - This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.

U2 - 10.2139/ssrn.1663429

DO - 10.2139/ssrn.1663429

M3 - Paper

SP - 1

EP - 26

ER -

Predictable responses in currency markets to macroeconomic news: A trading system approach

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