Efficiency in foreign exchange markets
Disordered Systems and Neural Networks
2008-12-02 v1 Statistical Finance
Abstract
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.
Keywords
Cite
@article{arxiv.cond-mat/9901225,
title = {Efficiency in foreign exchange markets},
author = {R. Baviera and M. Pasquini and M. Serva and D. Vergni and A. Vulpiani},
journal= {arXiv preprint arXiv:cond-mat/9901225},
year = {2008}
}
Comments
22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal