Temporal Patterns in Foreign Exchange Returns and Options
研究期权市场信息能否补充历史价格信息，用于预测外汇回报的时间模式。发现基于平价期权的策略比仅用历史即期汇率的策略更持续盈利，表明期权包含未来即期汇率变动的信息。
Although the foreign exchange market is believed to be one of the most efficient financial markets in the world, there is significant evidence that technical analysis is profitable in this market. In this study we investigate the ability of information from the options market to supplement the commonly used information on past prices to predict temporal patterns in foreign exchange returns. We find that strategies using information from at‐the‐money options were more consistently profitable than the commonly used strategies based on only historical spot exchange rates (past prices). Consequently, options appear to contain information regarding future spot exchange rate movements.