Forecastingexchangerate(国际金融-香港大学,WONGKa

1Forecastingexchangerate:part1WONGKaFu10thJanuary20012Ifyouarelookingforawhiteorblack,orblack&whitecat,Iamyourperfectchoice.3ContentAtasteoftechnicalanalysisAtasteoftime-seriesforecastingFundamentalanalysis:Factorsthataffectthemovementofexchangerates4Atasteoftechnicalanalysis5TechnicalanalysisTechnicalanalysisisamethodtoforecastpricemovementsofindividualcommoditiesand/orentiremarketsbylookingatpurelymarket-generatedstatistics-abstractsummariesofpriceactivity.6ThreetenetsoftechnicalanalystsAllmarketfundamentalsaredepictedintheactualmarketdata.Historyrepeatsitself.Pricesmoveintrends.71.Allmarketfundamentalsaredepictedintheactualmarketdata.Thusactualmarketfundamentalsandvariousunquantifiablemetafactors,suchasthedifferingopinions,hopes,fears,andmoodsofmarketparticipants,neednotbestudied.82.Historyrepeatsitself.Historyrepeatsitself,suchthatmarketsmoveinfairlypredictable,oratleastquantifiable,patterns.Thesepatterns,generatedbypricemovement,arecalledsignals.Thegoalintechnicalanalysisistouncoverthecurrentmarket'ssignalsbyexaminingpastmarketsignals.93.PricesmoveintrendsTechnicianstypicallydonotbelievethatpricefluctuationsarerandomandunpredictable.(Mostrejecttheweak-formexplanationofmarketefficiencyanddismisstherandomwalktheory.)Pricescanmoveinoneofthreedirections,up,downorsideways.Onceatrendinanyofthesedirectionsisineffectitusuallywillpersist.Apricechartwillusuallyindicatetheprevailingtrendascharacterizedbyaseriesofwaveswithobviouspeaksandtroughs.Itisthedirectionofthesepeaksandtroughsthatconstitutesthemarkettrend.Technicalanalysisattemptstodeterminethestrengthanddirectionofthetrendandthechangeinthetrenddirection.10ThebuildingblocksofanytechnicalanalysissystemincludePricechartsandTechnicalindicators,Botharemerelymathematicalrepresentationsofmarketpatternsandbehaviors.Forecastingmodelsusuallyincludeatleastonetypeofindicatorinrelationtoaparticulartypeofpricechartandlookfordivergenceorcontinuitybetweenindicatorsandpricetodeterminethevalidityofatrend.11Someofthepricechartsusedintechnicalanalysis:Chartpatternsarehillsandvalleys,shapesandcurvesthatdevelopovertimeonachartwhichoftenindicatechangesinpricedirection.Candlestickpatternarelikebarchartspatterns.Itcanbeusedtoforecastthemarket.Becauseoftheircoloredbodies,candlesticksvisuallyrepresentgreaterdetailintheirchartpatternsthanbarcharts.Pointandfigurepatternsareessentiallythesamepatternsfoundinbarchartsbuttransposedonchartswithnotimescale1213HeadandShouldersareareversalpatternconsistingofthreepricepeaks,themiddlebeingthelargest.It'spotentialintheoppositedirectionismeasuredbythedistancefromtopofmiddle(head)tothebase(neckline).Thispricedistanceisextrapolatedfromnecklineatthepointofbreakout.14Doubletopsanddoublebottomsarereversalpatternsconsistingoftwopeakswithapricevalley.Toconfirmpattern,pricesmustformapullback(declinebelowandclosebelowpreviouslyestablishedlow).Topredictmovesize,measureheightfromhightolowandprojectunderbeltline(Viceversafordoublebottom)15Flagsandpennantsarecontinuationpatterns,usuallyapauseinfast,oralmostvertical,pricemovement.Flagsareintheshapeofaparallelogram,whilepennantsareveryshorttriangles.16Broadeningisareversalpatternusuallyfoundattrendpeaksratherthanlows.17Trianglescanbecontinuationandreversalpatterns,thisusuallydeterminedbythedirectionwhichtheypoint.Confirmationisatbreakout,andthestrongestsignalsarewhenbreakoutoccursbetween1/2and3/4thetrianglelength.Ascendingtriangles:bullishDescendingtriangles:bearishSymmetricaltriangles:neutral1819Saucersarereversalpatternswhichareslowandroundinginform(attheendofamove).Noclearbreakoutsignalsoccurbecauseitissoslow;noclearSupport/Resistanceareasarefoundeither.Thispatterncanlastalongtime.Beonthelookoutforanytrendingactivity.20Gapsareareasinchartswherenotradingoccursandareusuallycontinuationpatterns.Runawaygapshavestrongfundamentalsbehindmove,arenotquicklyfilled.Exhaustiongapsareusuallythelargestgap,usuallyfilled,andhaveblow-offcharacteristics.Breakawaygapsareatendofpricepatternorwhenbreakingmajorsupport(orresistance),andareusuallyfilled.21Candlesticks22PointandFigurechartsInapointandfigurechart,X'sareforadvancingpricesand0'sarefordecliningprices.Whenthemarketreversesdirectionbythedefinedamount,anewcolumnstartstotherightatthecorrespondingpricelevel.Ifthepricemovesineitherdirectionbylessthanthecertainamount(theminimuminterval),nonewmarkswillbemade,nomatterhowmuchtimepasses.23SomeoftheTechnicalindicatorsusedintechnicalanalysis:Trendindicatorssmoothvariablepricedatatocreateacompositeofmarketdirection.Marketstrengthindicatorsdescribetheintensityofmarketopinionwithreferencetoapricebyexaminingthemarketpositionstakenbyvariousmarketparticipants.Volatilityindicatorsdescribethesizeofday-to-daypricefluctuationsindependentoftheirdirection.Cycleindicatorsdeterminethetimingofaparticularmarketpatterns.24SomeoftheTechnicalindicatorsusedintechnicalanalysis:Supportandresistanceindicatorsdescribethepricelevelswheremarketsrepeatedlyreverse.Momentumindicatorsdeterminethelatentstrengthorweaknessofatrendasitprogresse