Can Markov switching models replicate chartist profits in the foreign exchange market?

High-frequency Markov switching models i

High-frequency Markov switching models in the foreign exchange market

✍ Ian W. Marsh 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

This paper estimates two-state Markov models for three daily exchange rate series, and investigates the pro®tability 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