EURUSD Intraday Price Reversal

• Autorzy: Marta Wiśniewska
• Języki publikacji: EN

Abstrakty

EN

The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are automated high frequency trades (HFT). The study reveals that the mean reversion is present in the intraday EURUSD. ADF test rejects unit root. The average of the deviation of EURUSD from its (moving) mean is close to zero. Furthermore when short and long positions are simultaneously open, the average maximum return achieved through 24 hour period is similar, providing yet another evidence for mean reversion and lack of weak form of market efficiency.(original abstract)

Słowa kluczowe

PL

Efektywność rynku; Dolar amerykański (USD); Euro; Kurs walutowy

EN

Market effectiveness; United States dollar (USD); Euro; Exchange rates

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2014
• Tom: 14
• Numer: nr 2
• Strony: 152-162

Twórcy

autor

Marta Wiśniewska

• Gdansk School of Banking, Poland

Bibliografia

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Identyfikatory

DOI

10.1515/foli-2015-0014