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2014 | 14 | nr 2 | 152--162
Tytuł artykułu

EURUSD Intraday Price Reversal

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Języki publikacji
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)
Opis fizyczny
  • Gdansk School of Banking, Poland
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