Directional accuracy, forecasting error and the profitability of currency trading: model-based evidence
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Published in: | Applied economics |
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Main Author: | |
Other Authors: | |
Format: | Article |
Language: | English |
Published: | 2015 |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/00036846.2015.1068917 http://www.tandfonline.com/doi/abs/10.1080/00036846.2015.1068917 http://search.proquest.com/docview/1718382243 |
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245 | 1 | 0 | |a Directional accuracy, forecasting error and the profitability of currency trading: model-based evidence |
264 | 1 | |c 2015 | |
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520 | |a Three models (the flexible-price monetary model, PPP and a univariate ARIMA model) are estimated for 45 currency pairs to find out if the profitability of forecasting-based currency trading is more related to the ability of the underlying model to predict the direction of change than the magnitude of the forecasting error. Theoretical considerations show that a correct prediction of the direction of change is neither a necessary nor a sufficient condition for a profitable trade. The results of the exercise indicate that profitability is more strongly correlated with directional accuracy than with the magnitude of the error. | ||
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650 | 4 | |a directional accuracy | |
650 | 4 | |a F37 | |
650 | 4 | |a F31 | |
650 | 4 | |a simulation | |
650 | 4 | |a currency trading | |
650 | 4 | |a forecasting | |
650 | 4 | |a Forecasts and trends | |
650 | 4 | |a Foreign exchange market | |
650 | 4 | |a Studies | |
650 | 4 | |a Profitability | |
650 | 4 | |a Economic models | |
650 | 4 | |a Forecasting techniques | |
700 | 1 | |a Vaz, John |4 oth | |
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