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Predicting Currency Pair Trends Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Predicting Currency Pair Trends Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Conference papers
This paper reports on the results of a research and development pro- gramme concerned with the analysis of currency pair exchange time series for Forex trading in an intensive applications and services environment. In particular, we present some of the preliminary results obtained for Forex trading using MetaTrader 4 with a new set of trend indicators deigned using a mathematical model that is based on the Fractal Market Hypothesis. This includes examples of various currency pair exchange rates considered over di erent time intervals and use of the indicators in a live trading environment to place a buy/sell order.
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Conference papers
This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …