Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market

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dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorSokolovski, Valerien_ZA
dc.date.accessioned2015-01-05T18:46:35Z
dc.date.available2015-01-05T18:46:35Z
dc.date.issued2011en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references (leaves 87-93).en_ZA
dc.description.abstractThis paper examines the predictive power and profitability of an analytically derived, technical trading algorithm in the intraday spot foreign exchange market, using over nine years of hourly data. This trading rule, the reservation price policy (RPP), stems from the computer science literature and, based on certain assumptions, is shown to be efficient under the worst-case scenario criterion. The results indicate the existence of significant information content in the trading rule, which is robust to the parameter choice and consistent across the eleven currencies examined. But, the nonparametric, bootstrap analysis shows that the rule does not capture any incremental information above what is accounted for by the seasonal GARCH(1,1)-MA(1) model.en_ZA
dc.identifier.apacitationSokolovski, V. (2011). <i>Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/11470en_ZA
dc.identifier.chicagocitationSokolovski, Valeri. <i>"Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/11470en_ZA
dc.identifier.citationSokolovski, V. 2011. Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Sokolovski, Valeri AB - This paper examines the predictive power and profitability of an analytically derived, technical trading algorithm in the intraday spot foreign exchange market, using over nine years of hourly data. This trading rule, the reservation price policy (RPP), stems from the computer science literature and, based on certain assumptions, is shown to be efficient under the worst-case scenario criterion. The results indicate the existence of significant information content in the trading rule, which is robust to the parameter choice and consistent across the eleven currencies examined. But, the nonparametric, bootstrap analysis shows that the rule does not capture any incremental information above what is accounted for by the seasonal GARCH(1,1)-MA(1) model. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market TI - Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market UR - http://hdl.handle.net/11427/11470 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11470
dc.identifier.vancouvercitationSokolovski V. Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11470en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomic Scienceen_ZA
dc.titleAnalysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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