EUR/USD Intraday Volatility vs Trading Results and Market Efficiency

Marta Anastazja Wiśniewska

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.

Keywords


volatility, efficiency, efficient market, intraday, high frequency, return, trading, foreign exchange market, EUR/USD

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References


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DOI: https://doi.org/10.15678/AOC.2015.1302