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Title: Further evidence on technical trade profitability and foreign exchange intervention
Authors: Sosvilla Rivero,Simón Javier 
Andrada Félix, Julián 
Fernández Rodríguez, Fernando 
UNESCO Clasification: 5302 Econometría
Keywords: Bolsa de valores
Modelos económetricos
Issue Date: 2002
Publisher: 1350-4851
Journal: Applied Economics Letters 
Abstract: New evidence is presented on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors is evaluated, which may be viewed as a generalization of graphical methods widely used in financial markets. Daily data on the US dollar/Deutschmark and US dollar/Japanese Yen covering the 1 February 1982-31 December 1996 period are used. The results suggest that the exclusion of days of US intervention implies a substantial reduction in all profitability indicators (net returns, ideal profit measure, Sharpe ratio and directional forecast), being the reduction grater in the US dollar-Deutschmark case than in the US dollar-Japanese yen case.
ISSN: 1350-4851
DOI: 10.1080/13504850210137802
Source: Applied Economics Letters[ISSN 1350-4851],v. 9, p. 827-832
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