Add to ORKGThis paper analyses the effectiveness of the “Trading the News ” phenomena, practiced by many speculators. We examine, through a trading system approach, in the very short time (3 hours), how several macroeconomic news announcements, from 5 different regions (U.S., Euro Zone, U.K., Japan and Australia) are impounded into forex prices. Our goal is to find out whether an exploitable trading pattern exists around these announcements. Profitable results are obtained for the US NFP, the Australian GDP and the UK GDP. Miscellaneous results are obtained for the US Trade Balance, US GDP
This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging ...
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
International audienceThis paper investigates the rarely studied Euro-Bund Futures contract to measu...
This paper analyses the effectiveness of the “Trading the News” phenomena, practiced by many specula...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
This paper investigates the dynamic, short-run response of Euro exchange rate returns to the informa...
A growing body of evidence has accumulated on the behavior of volatility for pricing data on a varie...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
Using a new high-frequency data set consisting of real-time executable prices, macroeconomic expecta...
This paper revisits the issue of the influence of macro-economic announcements over the exchange rat...
This paper explores the relationship between precisely timed macroeconomic “news” (or “surprises”) a...
This paper studies competition in price discovery between spot and futures rates for the EUR-USD and...
The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is ...
Masters of Management in Finance and Investments, University of the Witwatersrand Johannesburg, 2016...
We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price ...
This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging ...
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
International audienceThis paper investigates the rarely studied Euro-Bund Futures contract to measu...
This paper analyses the effectiveness of the “Trading the News” phenomena, practiced by many specula...
This paper examines the relationship between 23 kinds of macroeconomic news and the return of foreig...
This paper investigates the dynamic, short-run response of Euro exchange rate returns to the informa...
A growing body of evidence has accumulated on the behavior of volatility for pricing data on a varie...
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic exp...
Using a new high-frequency data set consisting of real-time executable prices, macroeconomic expecta...
This paper revisits the issue of the influence of macro-economic announcements over the exchange rat...
This paper explores the relationship between precisely timed macroeconomic “news” (or “surprises”) a...
This paper studies competition in price discovery between spot and futures rates for the EUR-USD and...
The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is ...
Masters of Management in Finance and Investments, University of the Witwatersrand Johannesburg, 2016...
We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price ...
This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging ...
Forecasting exchange rates has fascinated economists for decades, but still there has not been one s...
International audienceThis paper investigates the rarely studied Euro-Bund Futures contract to measu...