Market inefficiency identified by both single and multiple currency trends
Many studies have shown that there are good reasons to claim very low predictability of currency returns; nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J. James, Simple trend-following strategies in currency trading, 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 grouped trends corresponding to different time delays. Our specific analysis based predominantly on Euro–dollar currency pair data at the one minute frequency suggests the importance of cumulative nonrandom effect of trends on the potential forecasting performance.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 391 (2012)
Issue (Month): 22 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2009. "Forbidden patterns, permutation entropy and stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2854-2864.
- Oh, Gabjin & Kim, Seunghwan & Eom, Cheoljun, 2007. "Market efficiency in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 209-212.
- Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009.
"Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm,"
Springer;Society for Computational Economics, vol. 33(2), pages 131-154, March.
- Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006 256, Society for Computational Economics.
- Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
- Alessandro Sansone & Giuseppe Garofalo, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance 0510026, EconWPA.
- Giuseppe Garofalo & Alessandro Sansone, 2006. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Papers physics/0607276, arXiv.org.
- Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers 88, University of Rome La Sapienza, Department of Public Economics.
- Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-341.
- Bigdeli, N. & Afshar, K., 2009. "Characterization of Iran electricity market indices with pay-as-bid payment mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1577-1592.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Stevenson, Richard A & Bear, Robert M, 1970. "Commodity Futures: Trends or Random Walks?," Journal of Finance, American Finance Association, vol. 25(1), pages 65-81, March.
- Jessica James, 2003. "Simple trend-following strategies in currency trading," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 75-77. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:391:y:2012:i:22:p:5620-5627. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.