Efficiency in foreign exchange markets

Details Efficiency in foreign exchange markets Efficiency in foreign exchange markets

1999-01-21

arxiv.org/abs/cond-mat/9901225v1

Physics

Condensed Matter

Disordered Systems and Neural Networks

22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal

Scientific paper

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.

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