Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48009
Title: Technical analysis in foreign exchange markets: evidence from the EMS
Authors: Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
Andrada Félix, Julián 
UNESCO Clasification: 5302 Econometría
Keywords: Análisis de series temporales
Mercados internacionales
Issue Date: 2003
Publisher: 0960-3107
Journal: Applied Financial Economics 
Abstract: This article assesses the economic significance of the non-linear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1 January 1978-31 December 1994 period, it considers nearest- neighbour non-linear predictors, transforming their forecasts into a technical trading rule, whose profitability has been evaluated against the traditional moving average trading rules, considering both interest rates and transaction costs. The results suggest that in most cases, a trading rule based on a non-linear predictor outperforms the moving average, both in terms of returns and in terms of the ideal profit and the Sharpe ratio profitability indicators.
URI: http://hdl.handle.net/10553/48009
ISSN: 0960-3107
DOI: 10.1080/09603100210100891
Source: Applied Financial Economics[ISSN 0960-3107],v. 13, p. 113-122
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