Title:
OPTIMAL HOLDING INTERVAL FOR FOREIGN EXCHANGE TRADING

Authors:
Chang Yu, Xiaodong Wang, Rado Kotorov, Jeremy Wood, United States

Abstract:

Foreign exchange trading is popular among professional traders. There are many discussion boards online where the traders are wondering what the optimal time interval is. Despite the discussions, there is no scientific exploration. It is needed to see if empirical evidence will support the existence of such an optimal interval. It is also important to establish a methodology for the calculation of such intervals for different asset classes. In this paper, we discussed two different models that can be used to find the optimal holding period of the foreign exchange for a given target profit. We also conducted numerical tests and showed that the two models coincide with each other. The research is beneficial for automated trading systems.