Title

Predictable responses in currency markets to macroeconomic news: A trading system approach

Date of this Version

12-15-2010

Document Type

Conference Paper

Publication Details

Published Version.

Schneller, W. & Vanstone, B. (2010). Predictable responses in currency markets to macroeconomic news: A trading system approach. Paper presented at the 23rd Australasian finance and banking conference, Sydney, Australia.

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2010 HERDC submission. FoR Code: 150299

© Copyright Warwick Schneller & Bruce Vanstone, 2010

Abstract

This paper analyses how the release of a macro news event affects exchanse rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP}/US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal
methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.

 

This document has been peer reviewed.