IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v312y2002i3p565-576.html
   My bibliography  Save this article

Antipersistent Markov behavior in foreign exchange markets

Author

Listed:
  • Baviera, Roberto
  • Pasquini, Michele
  • Serva, Maurizio
  • Vergni, Davide
  • Vulpiani, Angelo

Abstract

A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency (tick by tick) data. The antipersistent Markov behavior of log-price fluctuations of given size implies, in principle, the possibility of a statistical forecast. We introduce and measure the available information of the quote sequence, and we show how it can be profitable following a particular trading rule.

Suggested Citation

  • Baviera, Roberto & Pasquini, Michele & Serva, Maurizio & Vergni, Davide & Vulpiani, Angelo, 2002. "Antipersistent Markov behavior in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 565-576.
  • Handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:565-576
    DOI: 10.1016/S0378-4371(02)00968-8
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437102009688
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/S0378-4371(02)00968-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
    2. K. Ivanova & M. Ausloos & H. Takayasu, 2003. "Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach," Papers cond-mat/0301268, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857.
    2. Svitlana Galeshchuk, 2017. "Technological bias at the exchange rate market," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(2-3), pages 80-86, April.
    3. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare [The Essentials of the Analysis of Financial Time Series]," MPRA Paper 67175, University Library of Munich, Germany.
    4. Bertrand Maillet & Thierry Michel, 2000. "Further insights on the puzzle of technical analysis profitability," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 196-224.
    5. Accominotti, Olivier & Chambers, David, 2016. "If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years," The Journal of Economic History, Cambridge University Press, vol. 76(2), pages 342-386, June.
    6. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    7. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    8. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
    9. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753.
    10. Alexandros Milionis & Evangelia Papanagiotou, 2009. "A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-for," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1171-1186.
    11. Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
    12. Heba M. Ezzat, 2019. "Disposition effect and multi-asset market dynamics," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 11(2), pages 144-164, June.
    13. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
    14. Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.
    15. Jacinta Chan Phooi M’ng & Rozaimah Zainudin, 2016. "Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-19, August.
    16. Roscoe, Philip & Howorth, Carole, 2009. "Identification through technical analysis: A study of charting and UK non-professional investors," Accounting, Organizations and Society, Elsevier, vol. 34(2), pages 206-221, February.
    17. Mario A Bertella & Felipe R Pires & Ling Feng & Harry Eugene Stanley, 2014. "Confidence and the Stock Market: An Agent-Based Approach," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-9, January.
    18. Ivanovski, Zoran & Ivanovska, Nadica & Narasanov, Zoran, 2017. "Technical Analysis Accuracy At Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 105-118.
    19. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
    20. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:565-576. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.