Technical Trading and Testing of Intra-day Market Efficiency in the Foreign Exchange Market

Petr Zeman
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Petr Zeman: University of South Bohemia in České Budějovice

Acta Universitatis Bohemiae Meridionalis, 2014, vol. 17, issue 1, 3-13

Abstract: Due to the growing interest of investors in intra-day trading it is necessary to pay even more attention to the analysis of the microstructure of financial markets. This article analyses the behaviour of the exchange rate EUR/USD at short intervals. The base aim of this paper is to verify the possibility to reach the "above average return" through automated trading systems based on technical analysis. In the case that, the selected strategies will be achieved above average profits, it is possible to reject the efficient market hypothesis in its weak form. Otherwise, it can be argued that it could not disprove the hypothesis of efficient market in a very short time intervals and movement of the exchange rate EUR/USD is not predictable.

Keywords: Foreign exchange market; Fast-frequency data; Market efficiency; Technical analysis; Automatic trading systems (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:boh:actaub:v:17:y:2014:i:1:p:3-13

DOI: 10.32725/acta.2014.001

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