Efficiency in foreign exchange markets

R. Baviera, M. Pasquini, M. Serva, D. Vergni and A. Vulpiani
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R. Baviera: Universita' di L'Aquila and Roma "La Sapienza", Italy
M. Pasquini: Universita' di L'Aquila and Roma "La Sapienza", Italy
M. Serva: Universita' di L'Aquila and Roma "La Sapienza", Italy
D. Vergni: Universita' di L'Aquila and Roma "La Sapienza", Italy
A. Vulpiani: Universita' di L'Aquila and Roma "La Sapienza", Italy

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Abstract: 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.

Date: 1999-01
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Citations: View citations in EconPapers (4)

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