This paper estimates two-state Markov models for three daily exchange rate series, and investigates the proยฎtability of following the generated forecasts using the performance of simple chartist trading rules as benchmarks. It is shown that (1) the data are well approximated by Markov models, (2) th
โฆ LIBER โฆ
Antipersistent Markov behavior in foreign exchange markets
โ Scribed by Roberto Baviera; Michele Pasquini; Maurizio Serva; Davide Vergni; Angelo Vulpiani
- Book ID
- 108450173
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 142 KB
- Volume
- 312
- Category
- Article
- ISSN
- 0378-4371
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