IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-9901225.html
   My bibliography  Save this paper

Efficiency in foreign exchange markets

Author

Listed:
  • R. Baviera

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • M. Pasquini

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • M. Serva

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • D. Vergni

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

  • A. Vulpiani

    (Universita' di L'Aquila and Roma "La Sapienza", Italy)

Abstract

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.

Suggested Citation

  • R. Baviera & M. Pasquini & M. Serva & D. Vergni & A. Vulpiani, 1999. "Efficiency in foreign exchange markets," Papers cond-mat/9901225, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9901225
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/9901225
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
    2. Grilli, Luca, 2004. "Long-term fixed income market structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 441-447.
    3. Baviera, Roberto & Vergni, Davide & Vulpiani, Angelo, 2000. "Markovian approximation in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 566-581.
    4. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/9901225. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.