Market inefficiency identified by both single and multiple currency trends

Tom\'a\v{s} Tok\'ar and Denis Horv\'ath

Papers from arXiv.org

Abstract: Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3 (2003) C75-C77]. We analyze the local trends which are of the main focus of the technical analysis. In this article we introduced various statistical quantities examining role of single temporal discretized trend or multitude of trends corresponding to different time delays. Our specific analysis based on Euro-dollar currency pair data at the one minute frequency suggests the importance of cumulative nonrandom effect of trends on the forecasting performance.

Date: 2011-10
New Economics Papers: this item is included in nep-for
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1110.2612 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1110.2612

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().