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. (C) 2002 Elsevier Science B.V. All rights reserved.
Antipersistent Markov behavior in foreign exchange markets
SERVA, Maurizio;
2002-01-01
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. (C) 2002 Elsevier Science B.V. All rights reserved.File in questo prodotto:
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