How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach

作者：

Highlights：

• A rule-based trading system, which integrates central bank announcements, is proposed.

• Analysis broadly covers 3 segments: stock market, foreign exchange market and bonds market.

• Using the proposed rule-based trading system, we simulate trades in order to quantify their profitability.

• Individual transactions delivered profits in 72.7% cases in the out–of–sample forecasting period.

• Central bank communication is useful for investors in the design of rule-based trading strategies.

摘要

•A rule-based trading system, which integrates central bank announcements, is proposed.•Analysis broadly covers 3 segments: stock market, foreign exchange market and bonds market.•Using the proposed rule-based trading system, we simulate trades in order to quantify their profitability.•Individual transactions delivered profits in 72.7% cases in the out–of–sample forecasting period.•Central bank communication is useful for investors in the design of rule-based trading strategies.

论文关键词：Rule-based trading system,Central bank,Monetary policy,Stock market,Foreign exchange market,Bonds market

论文评审过程：Received 3 December 2020, Revised 19 March 2021, Accepted 11 May 2021, Available online 23 May 2021, Version of Record 2 July 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115201