The Dynamic Multi-factor Quantitative Currency Trading System-The Empirical Study of Profitability and Forecast Ability
Date Issued
2008
Date
2008
Author(s)
Huang, Chung-Yuan
Abstract
In the past literatures, there are many predecessors research in the foreign exchange area and try to find out the factors driving the complex market. From the earliest market clearing theory to the modern macro-based and technical-based theories, all these models are trying to forecast the market movement correctly. No matter the fundamental and technical theories, both of these can explain part of the market movement and forecast the future direction. But the performances are not always significant or consistent.herefore, introducing new analysis tools seems inevasible. Ilmanen, A. (1997) introduced dynamic weighted concept into bond market. In this research, we try to inject this concept into foreign exchange markets. The factors in foreign exchange markets are coming from many sources such as stock market, bond market and macro economy performance, the movements in each currency pair is driven by different factors in specific period. This characteristic is consistent with the concept of dynamic weighted forecasting model and also has good performance in FX market.his research tries to analyze from both academic and practice. Not only to verify the proxies from academic theories, but also can provide a trading reference for the financial institutions in Taiwan.
Subjects
foreign exchange
dynamic weighted
proxy trade
static weighted
multi-factor
currency
Type
thesis
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