Efficiency in foreign exchange markets

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dc.creatorBaviera, R.
dc.creatorPasquini, M.
dc.creatorServa, M.
dc.creatorVergni, D.
dc.creatorVulpiani, A.
dc.date1999-01-21
dc.date.accessioned2026-07-07T12:07:09Z
dc.date.available2026-07-07T12:07:09Z
dc.descriptionA 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.
dc.description22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal
dc.identifierhttps://arxiv.org/abs/cond-mat/9901225
dc.identifierhttp://arxiv.org/abs/cond-mat/9901225
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208873
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleEfficiency in foreign exchange markets
dc.typetext

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