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Efficiency in foreign exchange markets

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Listed:
  • R. Baviera

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • M. Pasquini

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • M. Serva

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • D. Vergni

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • A. Vulpiani

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

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.

Suggested Citation

  • R. Baviera & M. Pasquini & M. Serva & D. Vergni & A. Vulpiani, 1999. "Efficiency in foreign exchange markets," Papers cond-mat/9901225, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9901225
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    Cited by:

    1. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.
    2. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
    3. Grilli, Luca, 2004. "Long-term fixed income market structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 441-447.
    4. Baviera, Roberto & Vergni, Davide & Vulpiani, Angelo, 2000. "Markovian approximation in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 566-581.

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