EUR/USD Intraday Volatility vs Trading Results and Market Efficiency
EUR/USD Intraday Volatility vs Trading Results and Market Efficiency
Author(s): Marta WiśniewskaSubject(s): Economy, National Economy, Financial Markets
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
Keywords: volatility; efficiency; efficient market; intraday; high frequency; return; trading; foreign exchange market; EUR/USD
Summary/Abstract: The paper tackles the problem of the efficiency of the foreign exchange market by examining selected intraday trading strategies. The research was conducted based on high-frequency data, i.e. one minute EUR/USD bid and ask rates. The paper demonstrates that a trading strategy based on high volatility and a mean-reversion pattern can provide outstanding results. This, in turn, is evidence against market efficiency, at least in the intraday horizon.
Journal: Argumenta Oeconomica Cracoviensia
- Issue Year: 2015
- Issue No: 13
- Page Range: 33-42
- Page Count: 10
- Language: English