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Manic-depressive Price Fluctuations in the Financial Market – How Does the "Invisible Hand" Do it? Author info | Abstract | Publisher info | Download info | Related research | Statistics Stephan Schulmeister (WIFO)
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Speculative markets such as those for stocks or currencies typically have an extremely short time horizon for transactions. Yet at the same time, stock prices and exchange rates go up or down in trend curves of several years ("bull" and "bear" markets). The paper takes the dollar/euro exchange rate to study how short-term price movements accumulate to produce long-term trends. It found that speculative prices fluctuate around "underlying trends". The "trending" phenomenon repeats iself along a range of time scales. Long-term trends develop from the accumulation of price waves based on daily rates which continue longer in one direction than the other across several years. A succession of such trends produces a pattern typical for the long-term dynamism of speculative prices: they vary in irregular cycles across a factual balance range without inclining to converge towards that balance.
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Paper provided by WIFO in its series WIFO Working Papers with number
305.
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Length: 22 pages
Date of creation: 18 Oct 2007Date of revision:
Handle: RePEc:wfo:wpaper:y:2007:i:305Contact details of provider: Postal: A-1103 Wien, Postfach 91 Phone: (+43 1) 798 26 01-0 Fax: (+43 1) 798 93 86 Web page: http://www.wifo.ac.at/ More information through EDIRC
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Keywords: Finanzmärkte ; Handelstechniken ; Wechselkursdynamik ; Other versions of this item:
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate ,"
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[Downloadable!] (restricted)
Other versions:
Taylor, Alan M & Taylor, Mark P, 2004.
"The Purchasing Power Parity Debate ,"
CEPR Discussion Papers
4495, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Taylor, Alan & Taylor, Mark, 2004.
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Working Papers
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[Downloadable!] (restricted) Engel, Charles & Hamilton, James D, 1990.
"Long Swings in the Dollar: Are They in the Data and Do Markets Know It? ,"
American Economic Review ,
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[Downloadable!] (restricted)
Schulmeister, Stephan, 2006.
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Finance Research Letters ,
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[Downloadable!] (restricted)
Other versions: Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis ,"
Journal of Economic Literature ,
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Other versions:
Menkhoff, Lukas & Taylor, Mark P., 2006.
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
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The Warwick Economics Research Paper Series (TWERPS)
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[Downloadable!] Kenneth Rogoff, 1996.
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Shiller, Robert J., 1999.
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Handbook of Macroeconomics ,
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LeRoy, Stephen F, 1989.
"Efficient Capital Markets and Martingales ,"
Journal of Economic Literature ,
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Leroy, S.F., 1989.
"Efficient Capital Markets And Martingales ,"
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"How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? ,"
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2230, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Ian Marsh & Menzie Chinn & Yin-Wong Cheung, 1999.
"How do UK-Based Foreign Exchange Dealers Think Their Market Operates? ,"
Working Papers
wp99-21, Warwick Business School, Financial Econometrics Research Centre.
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NBER Working Papers
7524, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004.
"How do UK-based foreign exchange dealers think their market operates? ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
[Downloadable!] Robert J. Shiller, 2003.
"From Efficient Markets Theory to Behavioral Finance ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 17(1), pages 83-104, Winter.
[Downloadable!] (restricted)
Other versions: Stephan Schulmeister, 2007.
"The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data ,"
WIFO Working Papers
289, WIFO.
[Downloadable!]
Thomas Gehrig & Lukas Menkhoff, 2006.
"Extended evidence on the use of technical analysis in foreign exchange ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
[Downloadable!]
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