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Market inefficiency identified by both single and multiple currency trends

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  • Tom'av{s} Tok'ar
  • Denis Horv'ath

Abstract

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3 (2003) C75-C77]. We analyze the local trends which are of the main focus of the technical analysis. In this article we introduced various statistical quantities examining role of single temporal discretized trend or multitude of trends corresponding to different time delays. Our specific analysis based on Euro-dollar currency pair data at the one minute frequency suggests the importance of cumulative nonrandom effect of trends on the forecasting performance.

Suggested Citation

  • Tom'av{s} Tok'ar & Denis Horv'ath, 2011. "Market inefficiency identified by both single and multiple currency trends," Papers 1110.2612, arXiv.org.
    • Handle: RePEc:arx:papers:1110.2612
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    File URL: http://arxiv.org/pdf/1110.2612
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