Efficiency in foreign exchange markets

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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.
22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal

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Disordered Systems and Neural Networks, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208873

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9901225
 http://arxiv.org/abs/cond-mat/9901225

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arXiv