We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor's (198016. Taylor, S. 2008. Modelling Financial Time Series , Hackensack, NJ: World Scientific. View all references) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the short-term pattern of the price trend. Employing a maximum likelihood method and a genetic algorithm to estimate the model parameters, in 39 of the 95 cases considered we find evidence in favour of the presence of trends, the trends being more frequent in intermediate exchange-rate regimes.View full textDownload full textKeywordsexchange rates, price trend model, genetic algorithmsJEL classificationC53, F31, G14Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2011.587757
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机译：我们测试了95种货币对美元的汇率序列趋势是否存在。为此，我们利用了泰勒（198016. Taylor，S. 2008. Modeling Financial Time Series，Hackensack，NJ：World Scientific。View all reference）的价格趋势模型，而不是关注汇率的平均回复行为。从长远角度衡量，集中于价格趋势的短期模式。在研究的95个案例中，有39个案例使用最大似然法和遗传算法来估计模型参数，我们发现了支持趋势存在的证据，在中间汇率制度下趋势更为频繁。查看全文下载全文费率，价格趋势模型，遗传算法JEL分类C53，F31，G14 “，pubid：” ra-4dff56cd6bb1830b“};添加到候选列表链接永久链接http://dx.doi.org/10.1080/13504851.2011.587757
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