Die Anwendbarkeit der Behavioral Finance im Devisenmarkt
Behavioral finance theory is used for the foreign exchange market to show, that the profit of a typical trader is mainly due to the higher number of correct positions. Using behavioral finance the amount of loss trades is larger than 60%, however the individual gains are larger than the losses leading to an overall profit. Using this approach we show, that behavioral finance rules can be quantified and a trading outperformance is possible just using 24h spot rates and 3 day volatilities.
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- Roßbach, Peter, 2001. "Behavioral finance: eine Alternative zur vorherrschenden Kapitalmarkttheorie?," Frankfurt School - Working Paper Series 31, Frankfurt School of Finance and Management.
- Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V., 2001. "Effective return, risk aversion and drawdowns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 229-248.