EUR/USD Intraday Volatility vs Trading Results and Market Efficiency
DOI:
https://doi.org/10.15678/AOC.2015.1302Keywords:
volatility, efficiency, efficient market, intraday, high frequency, return, trading, foreign exchange market, EUR/USDAbstract
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.References
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