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Presentation
Predictable Responses in Currency Markets to Macroeconomic News: A Trading System Approach
23rd Australasian Finance and Banking Conference (2010)
  • Bruce Vanstone
  • Warwick Schneller, Bond University
Abstract

This paper analyses how the release of a macro news event affects exchange 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 formal methodology 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.

Publication Date
2010
Citation Information
Bruce Vanstone and Warwick Schneller. "Predictable Responses in Currency Markets to Macroeconomic News: A Trading System Approach" 23rd Australasian Finance and Banking Conference (2010)
Available at: http://works.bepress.com/bruce_vanstone/46/