IDEAS home Printed from
   My bibliography  Save this paper

Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate


  • Stephan Schulmeister



The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen/dollar exchange rate. The paper shows first that these models would have exploited exchange rate trends quite profitably between 1976 and 1999, and then that the aggregate transactions and positions of technical models exert an excess demand pressure on currency markets since they are mostly at the same side of the market. When technical models produce trading signals they are either buying or selling; when they maintain open positions they are either long or short. A strong interaction prevails between exchange rate movements and the transactions triggered by technical models. An initial rise of the exchange rate due to news, e.g., is systematically lengthened through a sequence of technical buy signals.

Suggested Citation

  • Stephan Schulmeister, 2007. "Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate," WIFO Working Papers 294, WIFO.
  • Handle: RePEc:wfo:wpaper:y:2007:i:294

    Download full text from publisher

    File URL:
    File Function: Abstract
    Download Restriction: no

    References listed on IDEAS

    1. Michael Förster & Mark Pearson, 2003. "Income Distribution and Poverty in the OECD Area: Trends and Driving Forces," OECD Economic Studies, OECD Publishing, vol. 2002(1), pages 7-38.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Stephan Schulmeister, 2014. "A General Financial Transactions Tax. Motives, Effects and Implementation According to the Proposal of the European Commission," WIFO Working Papers 461, WIFO.
    2. Stephan Schulmeister, 2015. "The struggle over the Financial Transactions Tax. A politico-economic farce," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 15-55.
    3. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.

    More about this item


    Exchange rate; Technical Trading; Speculation; Heterogeneous Agents;

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wfo:wpaper:y:2007:i:294. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilse Schulz). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.