Trading price jump clusters in foreign exchange markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F15%3A00445748" target="_blank" >RIV/67985998:_____/15:00445748 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11640/15:00455373
Result on the web
<a href="http://dx.doi.org/10.1016/j.finmar.2015.03.002" target="_blank" >http://dx.doi.org/10.1016/j.finmar.2015.03.002</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.finmar.2015.03.002" target="_blank" >10.1016/j.finmar.2015.03.002</a>

Result language
angličtina
Original language name
Trading price jump clusters in foreign exchange markets
Original language description
We investigate trading opportunities of price jump clusters in the FX markets. We identify clusters for eight FX rates against the U.S. dollar from March 1, 2013 to June 6, 2013 sampled at a 5-minute frequency. We propose a high-frequency jump cluster-based trading strategy and show that jumps carry a tradable signal for all currencies; however, when incorporating the bid-ask spread, the only profitable currencies are the euro, yen and rand. From the portfolio perspective, a combination of the euro andyen represents a strategy robust to the holding period, minimizes the transaction costs, and diversifies out the U.S.-related risk.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA14-27047S" target="_blank" >GA14-27047S: Extreme variations of capital markets: theory, empirics and regulatory perspective</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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