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
✦ LIBER ✦
Modeling the demand–price relations in a high-frequency foreign exchange market
✍ Scribed by Anatoly B Schmidt
- Book ID
- 108452161
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 258 KB
- Volume
- 271
- Category
- Article
- ISSN
- 0378-4371
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