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The Gilt Market: Models and Model-Based Trading

✍ Scribed by Richard Flavell, Nigel Meade and Gerry Salkin

Book ID
125579848
Publisher
Palgrave Publishers Ltd.
Year
1994
Tongue
English
Weight
495 KB
Volume
45
Category
Article
ISSN
0160-5682

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The contributions of this paper are twofold. First, the performance of a widely used commercial real-time trading model is compared with a simple exponential moving average model. Second, the trading models are used as diagnostic tools to evaluate the statistical properties of foreign exchange rates