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Predictable Responses in Currency Markets to Macroeconomic News: A Trading System Approach

by: Warwick Schneller, Bruce Vanstone
Social Science Research Network Working Paper Series (24 August 2010)  Key: citeulike:12172207

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Abstract

This paper analyses how the release of a macro news event affects exchange 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.


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