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Eurusd Intraday Price Reversal

Author

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  • Wiśniewska Marta

    (Gdansk School of Banking, Dolna Brama 8, 80-821 Gdańsk, Poland)

Abstract

The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are automated high frequency trades (HFT). The study reveals that the mean reversion is present in the intraday EURUSD. ADF test rejects unit root. The average of the deviation of EURUSD from its (moving) mean is close to zero. Furthermore when short and long positions are simultaneously open, the average maximum return achieved through 24 hour period is similar, providing yet another evidence for mean reversion and lack of weak form of market efficiency.

Suggested Citation

  • Wiśniewska Marta, 2014. "Eurusd Intraday Price Reversal," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 152-162, December.
    • Handle: RePEc:vrs:foeste:v:14:y:2014:i:2:p:152-162:n:14
    DOI: 10.1515/foli-2015-0014
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    References listed on IDEAS

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    More about this item

    Keywords

    high frequency; intraday; price; EURUSD; reversal; mean; market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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