Predictable responses in currency markets to macroeconomic news: A trading system approachThe 23rd Australasian finance and banking conference
Date of this Version12-15-2010
Document TypeConference Paper
AbstractThis paper analyses how the release of a macro news event affects exchanse rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP}/US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formalmethodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.
Citation InformationWarwick Schneller and Bruce Vanstone. "Predictable responses in currency markets to macroeconomic news: A trading system approach" The 23rd Australasian finance and banking conference (2010)
Available at: http://works.bepress.com/bruce_vanstone/40/