Towards the fundamentals of technical analysis: analysing the information content of high, low and close prices

Fiess, N. and Macdonald, R. (2002) Towards the fundamentals of technical analysis: analysing the information content of high, low and close prices. Economic Modelling, 19(3), pp. 353-374. (doi:10.1016/S0264-9993(01)00067-0)

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Abstract

Technical analysis assigns a special importance to the Open, High, Low and Close prices in forecasting the mean and volatility of exchange rates. In this paper we propose to investigate the time series properties and the informational content of these different prices, using range and cointegration methods. The application of these methods to a high frequency data set indicates the existence of stable structural relationships and asymmetric information flows, which is supportive of certain predictions of market microstructure models of the foreign exchange market. In sum, we argue that a technical analysis of High, Low and Close prices is a useful way of learning about latent Granger causality in high frequency exchange rates.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Fiess, Dr Norbert and MacDonald, Professor Ronald
Authors: Fiess, N., and Macdonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economic Modelling
ISSN:0264-9993
Published Online:06 March 2002

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