English, Article edition: Using Weekly Empirical Probabilities in Currency Analysis and Forecasting Andrew C Pollock; Alex Macaulay; Mary E Thomson; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Using Weekly Empirical Probabilities in Currency Analysis and Forecasting
Author
  • Andrew C Pollock
  • Alex Macaulay
  • Mary E Thomson
  • Dilek Önkal
Physical Description
  • article
Notes
  • RePEc:ffe:journl:v:5:y:2008:i:2:p:26-55
  • The Empirical Probability (EP) technique is proposed as an effective support tool to assist agents operating in a global fusion of financial markets. This technique facilitates the identification and prediction of primary, secondary and tertiary trends in addition to the recognition of trend reversals and the detection of changes in trend momentum. The suggested procedure is illustrated by deriving weekly (five-day) non-overlapping estimated probabilities from daily Euro/​USD exchange rate data from 04/​01/​1999 to 31/​12/​2004 and applying these probabilities to the analysis and forecasting of exchange rate movements. In addition, trend characteristics of the data are used to develop a trading system that not only provides buy and sell indicators but also supplies directional probabilities associated with the signalled actions.
  • RePEc:ffe:journl:v:5:y:2008:i:2:p:22-55
Language
  • English
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