Efficiency in foreign exchange markets
无序系统与神经网络
2008-12-02 v1 统计金融
摘要
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.
关键词
引用
@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}
}
备注
22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal