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Technical Trading and Testing of Intra-day Market Efficiency in the Foreign Exchange Market

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  • Petr Zeman

    (University of South Bohemia in České Budějovice)

Abstract

Due to the growing interest of investors in intra-day trading it is necessary to pay even more attention to the analysis of the microstructure of financial markets. This article analyses the behaviour of the exchange rate EUR/USD at short intervals. The base aim of this paper is to verify the possibility to reach the above average return through automated trading systems based on technical analysis. In the case that, the selected strategies will be achieved above average profits, it is possible to reject the efficient market hypothesis in its weak form. Otherwise, it can be argued that it could not disprove the hypothesis of efficient market in a very short time intervals and movement of the exchange rate EUR/USD is not predictable.

Suggested Citation

  • Petr Zeman, 2014. "Technical Trading and Testing of Intra-day Market Efficiency in the Foreign Exchange Market," Acta Universitatis Bohemiae Meridionales, University of South Bohemia in Ceske Budejovice, vol. 17(1), pages 3-13.
    • Handle: RePEc:boh:actaub:v:17:y:2014:i:1:p:3-13
    DOI: 10.32725/acta.2014.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Foreign exchange market; Fast-frequency data; Market efficiency; Technical analysis; Automatic trading systems;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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