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Automatiserad Valutahandel - En kvantifierad teknisk approach

Silfverswärd, Johan LU and Lindén, Alexander LU (2015) NEKH01 20142
Department of Economics
Abstract (Swedish)
Studien använder sig av en kvantitativ metod, där 18 handelsstrategier har tagits fram och testats på en tioårig tidsperiod på tre olika valutapar. Studien ämnar förstärka eller falsifiera den effektiva marknadshypotesen och genomförs således enligt en hypotetisk-deduktiv metod. Syftet är att med hjälp av kvantifierade investeringsstrategier undersöka huruvida det går att prognostisera framtida priser för att uppnå en högre avkastning relativt en riskfri ränta. Handelsstrategiernas avkastning ligger över tid i linje med vad man kan förvänta sig av Random Walk-teorin och resultatet förstärker därmed EMH
Abstract
This thesis uses a quantitative method in which 18 trading strategies have been developed and have been backtested ten years on three different currency pairs. Furthermore it intends to either strengthen or falsify the Efficient Market Hypothesis in accordance with a hypothetical-deductive method. The purpose is to examine the possibility of achieving a positive return on the currency market using automated trading strategies based on technical indicators in comparison with a risk-free rate. The trading strategies are in line with what can be expected from the Random Walk theory over time, thus, the result strengthens the EMH.
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author
Silfverswärd, Johan LU and Lindén, Alexander LU
supervisor
organization
course
NEKH01 20142
year
type
M2 - Bachelor Degree
subject
keywords
Teknisk Analys, Valutamarknad, Effektiva Marknadshypotesen, Random Walk, Behavioral Finance
language
Swedish
id
5002916
date added to LUP
2015-02-19 14:05:39
date last changed
2015-02-19 14:05:39
@misc{5002916,
  abstract     = {This thesis uses a quantitative method in which 18 trading strategies have been developed and have been backtested ten years on three different currency pairs. Furthermore it intends to either strengthen or falsify the Efficient Market Hypothesis in accordance with a hypothetical-deductive method. The purpose is to examine the possibility of achieving a positive return on the currency market using automated trading strategies based on technical indicators in comparison with a risk-free rate. The trading strategies are in line with what can be expected from the Random Walk theory over time, thus, the result strengthens the EMH.},
  author       = {Silfverswärd, Johan and Lindén, Alexander},
  keyword      = {Teknisk Analys,Valutamarknad,Effektiva Marknadshypotesen,Random Walk,Behavioral Finance},
  language     = {swe},
  note         = {Student Paper},
  title        = {Automatiserad Valutahandel - En kvantifierad teknisk approach},
  year         = {2015},
}