Efficiency in foreign exchange markets
classification
❄️ cond-mat.dis-nn
q-fin.ST
keywords
efficiencyexchangeanomaliesavailablecheckdatadevelopeddollar
read the original 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.
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