Predictable responses in currency markets to macroeconomic news: A trading system approach

Warwick Schneller, Bruce J Vanstone

Research output: Contribution to conferencePaperResearchpeer-review

Abstract

This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.
Original languageEnglish
Pages1-26
Number of pages26
DOIs
Publication statusPublished - 2010
Event 23rd Australasian Finance and Banking Conference 2010 - Sydney, Australia
Duration: 15 Dec 201017 Dec 2010

Conference

Conference 23rd Australasian Finance and Banking Conference 2010
CountryAustralia
CitySydney
Period15/12/1017/12/10

Fingerprint

Currency market
Trading systems
Currency
Announcement
Systems approach
Macroeconomic news
News
Methodology
Equity markets
Exchange rates
System model

Cite this

Schneller, W., & Vanstone, B. J. (2010). Predictable responses in currency markets to macroeconomic news: A trading system approach. 1-26. Paper presented at 23rd Australasian Finance and Banking Conference 2010, Sydney, Australia. https://doi.org/10.2139/ssrn.1663429
Schneller, Warwick ; Vanstone, Bruce J. / Predictable responses in currency markets to macroeconomic news: A trading system approach. Paper presented at 23rd Australasian Finance and Banking Conference 2010, Sydney, Australia.26 p.
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Schneller, W & Vanstone, BJ 2010, 'Predictable responses in currency markets to macroeconomic news: A trading system approach' Paper presented at 23rd Australasian Finance and Banking Conference 2010, Sydney, Australia, 15/12/10 - 17/12/10, pp. 1-26. https://doi.org/10.2139/ssrn.1663429

Predictable responses in currency markets to macroeconomic news: A trading system approach. / Schneller, Warwick; Vanstone, Bruce J.

2010. 1-26 Paper presented at 23rd Australasian Finance and Banking Conference 2010, Sydney, Australia.

Research output: Contribution to conferencePaperResearchpeer-review

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Schneller W, Vanstone BJ. Predictable responses in currency markets to macroeconomic news: A trading system approach. 2010. Paper presented at 23rd Australasian Finance and Banking Conference 2010, Sydney, Australia. https://doi.org/10.2139/ssrn.1663429