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Presentation
Predictable responses in currency markets to macroeconomic news: A trading system approach
The 23rd Australasian finance and banking conference
  • Warwick Schneller, Bond University
  • Bruce Vanstone, Bond University
Date of this Version
12-15-2010
Document Type
Conference Paper
Publication Details

Published Version.

Schneller, W. & Vanstone, B. (2010). Predictable responses in currency markets to macroeconomic news: A trading system approach. Paper presented at the 23rd Australasian finance and banking conference, Sydney, Australia.

Access the conference website.

2010 HERDC submission. FoR Code: 150299

© Copyright Warwick Schneller & Bruce Vanstone, 2010

Abstract
This 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 Information
Warwick 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/