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

Includes abstract.

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Main Author: Sokolovski, Valeri
Other Authors: Hassan, Shakill
Format: Thesis
Language:English
Published: School of Economics 2015
Subjects:
Economic Science
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access_status_str Open Access
author Sokolovski, Valeri
author2 Hassan, Shakill
author_browse Hassan, Shakill
Sokolovski, Valeri
author_facet Hassan, Shakill
Sokolovski, Valeri
author_sort Sokolovski, Valeri
collection Thesis
description Includes abstract.
format Thesis
id oai:open.uct.ac.za:11427/11470
institution University of Cape Town (South Africa)
language eng
last_indexed 2026-06-10T12:32:42.829Z
license_str Not specified — see source repository
provenance_str_mv Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository
publishDate 2015
publishDateRange 2015
publishDateSort 2015
publisher School of Economics
publisherStr School of Economics
record_format dspace
source_str UCTD — University of Cape Town Open Access Repository
spelling oai:open.uct.ac.za:11427/11470 Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market Sokolovski, Valeri Hassan, Shakill Economic Science Includes abstract. Includes bibliographical references (leaves 87-93). 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. 2015-01-05T18:46:35Z 2015-01-05T18:46:35Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/11470 eng application/pdf School of Economics Faculty of Commerce University of Cape Town
spellingShingle Economic Science
Sokolovski, Valeri
Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
thesis_degree_str Master's
title Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
title_full Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
title_fullStr Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
title_full_unstemmed Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
title_short Analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra-day spot foreign exchange market
title_sort analysis of the predictive ability and profitability of an analytically derived trading algorithm in the intra day spot foreign exchange market
topic Economic Science
url http://hdl.handle.net/11427/11470
work_keys_str_mv AT sokolovskivaleri analysisofthepredictiveabilityandprofitabilityofananalyticallyderivedtradingalgorithmintheintradayspotforeignexchangemarket

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