Efficiency in foreign exchange markets

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.

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Year of publication:	1999-01
Authors:	Baviera, R. ; Pasquini, M. ; Serva, M. ; Vergni, D. ; Vulpiani, A.
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005098527