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

Research output: Contribution to conference › Paper

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.

Original language	English
Pages	1--26
DOIs	https://doi.org/10.2139/ssrn.1663429
Publication status	Published - 2010
Externally published	Yes

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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.",

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

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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.

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

Abstract

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