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The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies

Last Updated on 10 February, 2024 by Rejaul Karim

The research paper “The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies” authored by William Krivan, sets out to unravel the conundrum surrounding preserved quantities in financial time series, emphasizing the need for intraday trading strategies within the realm of currency forecasting.
Focusing on the currency pair EURUSD, the study accentuates the complications that ensue when daily data is employed for one-day forecasts of currency exchange rate movements.

In light of the shortcomings experienced with forecast horizons of one day or more, the research delves deeper into the EURUSD time series data to gain insight into the typical intraday movements and their magnitude, elucidating how these characteristics can be leveraged for the formulation of consistently profitable trading strategies.

By amalgamating the outcomes of their numerical analyses with published discoveries from the literature, the paper proffers a compelling rationale for a simple intraday trading strategy for EURUSD, steering clear of the predicaments associated with longer-term forecasts.

The research unfurls practical insights, underscoring the imperative need for intraday strategies in enhancing the efficacy of currency forecasting models.

Abstract Of Paper

In the context of the supervised learning problem for time series forecasting, we focus on financial time series and use the currency pair EURUSD to highlight issues that arise when daily data are utilized for one-day forecasts of currency exchange rate moves. In light of our results for forecast horizons of one day or more, we take a closer look at the EURUSD time series data to get a better understanding of typical intraday moves and their magnitude and how their potential can be harnessed for the development of consistently profitable trading strategies. By combining the results of our own numerical studies with published findings from the literature and illuminating them from a practical perspective, we motivate a simple intraday trading strategy for EURUSD that avoids some of the problems associated with longer-term forecasts.

Original paper – Download PDF

Here you can download the PDF and original paper of The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies.

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Author

William Krivan
Krivan Capital LLC

Conclusion

In conclusion, the research paper “The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies” by William Krivan, endeavors to grapple with the perennial challenge of preserved quantities in financial time series, spotlighting the pivotal role of intraday trading strategies in the domain of currency forecasting.

Significantly, the study accentuates the perils stemming from the utilization of daily data for one-day forecasts of currency exchange rate movements, thereby underscoring the inadequacy of longer-term forecast horizons. By delving into the EURUSD time series data, the research fathoms the typical intraday moves and their magnitude, imbuing a sense of practicality in harnessing their potential for consistently profitable trading strategies.

Combining their own empirical findings with insights from extant literature, the paper ardently advocates for the adoption of a simple intraday trading strategy for EURUSD, envisaging the mitigation of challenges associated with longer-term forecasting.

The study imparts pragmatic wisdom, championing the indispensability of intraday strategies as the linchpin for fortifying the efficacy of currency forecasting models, setting the stage for a compelling narrative surrounding the utility of intraday trading strategies in navigating the complexities of financial time series forecasting.

Related Reading:

Currency Value

Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

FAQ

Q1: What is the focus of the research paper “The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies”?

A1: The research paper focuses on addressing the challenges associated with preserved quantities in financial time series, particularly within the context of currency forecasting. It advocates for the use of intraday trading strategies to enhance the efficacy of currency forecasting models.

Q2: Which currency pair does the study use for its analysis, and what issues are highlighted when daily data is employed for one-day forecasts?

A2: The study uses the currency pair EURUSD for its analysis. It highlights issues that arise when daily data are utilized for one-day forecasts of currency exchange rate movements. The complications associated with using longer-term forecast horizons are emphasized.

Q3: What insights does the research aim to gain by looking at the EURUSD time series data?

A3: The research aims to gain a better understanding of typical intraday moves and their magnitude within the EURUSD time series data. It explores how these characteristics can be harnessed for the development of consistently profitable trading strategies.

You can find many more Research Papers here

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