• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Using weekly empirical probabilities in currency analysis and forecasting

      Thumbnail
      View / Download
      382.5 Kb
      Author(s)
      Pollock, A. C.
      Macaulay, A.
      Thomson, M. E.
      Önkal D.
      Date
      2008
      Source Title
      Frontiers in Finance and Economics
      Print ISSN
      1814-2044
      Publisher
      ESC Lille
      Volume
      5
      Issue
      2
      Pages
      1 - 30
      Language
      English
      Type
      Article
      Item Usage Stats
      75
      views
      20
      downloads
      Abstract
      The Empirical Probability (EP) technique is proposed as an effective support tool to assist agents operating in a global fusion of financial markets. This technique facilitates the identification and prediction of primary, secondary and tertiary trends in addition to the recognition of trend reversals and the detection of changes in trend momentum. The suggested procedure is illustrated by deriving weekly (five-day) non-overlapping estimated probabilities from daily Euro/USD exchange rate data from 04/01/1999 to 31/12/2004 and applying these probabilities to the analysis and forecasting of exchange rate movements. In addition, trend characteristics of the data are used to develop a trading system that not only provides buy and sell indicators but also supplies directional probabilities associated with the signalled actions.
      Keywords
      Foreign exchange
      Forecasting
      Investment decisions
      F31
      F47
      G11
      G15
      Permalink
      http://hdl.handle.net/11693/49311
      Collections
      • Department of Management 579
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartments

      My Account

      LoginRegister

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 1771
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy