Derivative products & currency technical trading rules
SubjectΠαράγωγα (Χρηματοοικονομική) ; Derivative securities ; Αγορά χρήματος ; Διαχείριση κινδύνου ; Risk management
This thesis will mine the filter technical trading rule and the moving average crossover trading rule that are the most common used ones. Both methods as well as their results will be analyzed thoroughly later on. What distinguishes, however, this study from existing ones is the usage of information from currency options to enhance the buy/sell signals from technical trading rules. The motivation comes from the fact that, although the aforementioned rules have been shown to be profitable in several instances (Levich and Thomas [The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach], Silber [Technical Trading: When It Works and When It Doesn't]), they frequently generate false buy/sell signals that lead to substantial losses. In principle, therefore, this thesis examines whether there is more unused information, contained in currency options prices, in addition to the unexploited information the technical trading rules are supposed to exploit.