Title of article
Antipersistent Markov behavior in foreign exchange markets
Author/Authors
Roberto Baviera، نويسنده , , Michele Pasquini، نويسنده , , Maurizio Serva، نويسنده , , Davide Vergni، نويسنده , , Angelo Vulpiani، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
12
From page
565
To page
576
Abstract
A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency (tick by tick) data. The antipersistent Markov behavior of log-price fluctuations of given size implies, in principle, the possibility of a statistical forecast. We introduce and measure the available information of the quote sequence, and we show how it can be profitable following a particular trading rule.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2002
Journal title
Physica A Statistical Mechanics and its Applications
Record number
867931
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