Hassanniakalager, A., Sermpinis, G. and Stasinakis, C. (2021) Trading the foreign exchange market with technical analysis and Bayesian statistics. Journal of Empirical Finance, 63, pp. 230-251. (doi: 10.1016/j.jempfin.2021.07.006)
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Abstract
In this study, the profitability of technical analysis and Bayesian Statistics in trading the EUR/USD, GBP/USD, and USD/JPY exchange rates are examined. For this purpose, seven thousand eight hundred forty-six technical rules are generated, and their profitability is assessed through a data snooping procedure. Then, the most promising rules are combined with a Naïve Bayes, a Relevance Vector Machine, a Dynamic Model Averaging, a Dynamic Model Selection and a Bayesian regularized Neural Network model. The findings show that technical analysis has value in foreign exchange trading, but the profit margins are small. On the other hand, Bayesian Statistics seems to increase the profitability of technical rules up to five times.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Stasinakis, Professor Charalampos and Hassanniakalager, Arman and Sermpinis, Professor Georgios |
Creator Roles: | Hassanniakalager, A.Conceptualization, Methodology, Software, Visualization, Data curation, Writing – review and editing Sermpinis, G.Writing – original draft, Investigation, Validation, Methodology Stasinakis, C.Supervision, Software, Writing – review and editing, Data curation |
Authors: | Hassanniakalager, A., Sermpinis, G., and Stasinakis, C. |
College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
Journal Name: | Journal of Empirical Finance |
Publisher: | Elsevier |
ISSN: | 0927-5398 |
ISSN (Online): | 1879-1727 |
Published Online: | 19 July 2021 |
Copyright Holders: | Copyright © 2021 Elsevier B.V. |
First Published: | First published in Journal of Empirical Finance 63: 230-251 |
Publisher Policy: | Reproduced in accordance with the publisher copyright policy |
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