Antipersistent Markov behavior in foreign exchange markets

被引：2
|
作者：
Baviera, R
Pasquini, M
Serva, M
Vergni, D
Vulpiani, A
机构：
[1] MPS Finance Banca Mobiliare, Derivat Prod, I-53100 Siena, Italy
[2] Univ Aquila, Dipartimento Matemat, I-67100 Laquila, Italy
[3] INFM, Unita Aquila, I-67100 Laquila, Italy
[4] Univ Roma La Sapienza, Dipartimento Fis, I-00185 Rome, Italy
[5] INFM, Unita Roma 1, I-00185 Rome, Italy
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2002年 / 312卷 / 3-4期
关键词：
Markov process; exchange rate; Shannon entropy; forecasting;
D O I：
10.1016/S0378-4371(02)00968-8
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency (tick by tick) data. The antipersistent Markov behavior of log-price fluctuations of given size implies, in principle, the possibility of a statistical forecast. We introduce and measure the available information of the quote sequence, and we show how it can be profitable following a particular trading rule. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：565 / 576
页数：12
相关论文
共 50 条
  • [1] On the rigid body behavior of foreign exchange markets
    Matassini, L
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2002, 308 (1-4) : 402 - 410
  • [2] Dealer behavior and trading systems in foreign exchange markets
    Bjonnes, GH
    Rime, D
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2005, 75 (03) : 571 - 605
  • [3] Foreign exchange markets
    Naszodi, Anna
    [J]. JOURNAL OF BANKING & FINANCE, 2007, 31 (12) : 3901 - 3903
  • [4] Hedger Behavior and Its Impact on Order Flow and Exchange Rate in Foreign Exchange Markets
    Skoupil, Lubomir
    [J]. 16TH ANNUAL CONFERENCE ON FINANCE AND ACCOUNTING, ACFA PRAGUE 2015, 2015, 25 : 511 - 517
  • [5] Bubbles in foreign exchange markets
    Kirman, Alan
    Ricciotti, Romain Fabio
    Topol, Richard Leon
    [J]. MACROECONOMIC DYNAMICS, 2007, 11 : 102 - 123
  • [6] Forecast in foreign exchange markets
    R. Baviera
    M. Pasquini
    M. Serva
    D. Vergni
    A. Vulpiani
    [J]. The European Physical Journal B - Condensed Matter and Complex Systems, 2001, 20 : 473 - 479
  • [7] Forecast in foreign exchange markets
    Baviera, R
    Pasquini, M
    Serva, M
    Vergni, D
    Vulpiani, A
    [J]. EUROPEAN PHYSICAL JOURNAL B, 2001, 20 (04): : 473 - 479
  • [8] Timing Foreign Exchange Markets
    Malone, Samuel W.
    Gramacy, Robert B.
    ter Horst, Enrique
    [J]. ECONOMETRICS, 2016, 4 (01):
  • [9] Indeterminacy in foreign exchange markets
    Pasquini, M
    Serva, M
    [J]. PHYSICA A, 2000, 277 (1-2): : 228 - 238
  • [10] Time and foreign exchange markets
    Berardi, L
    Serva, M
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2005, 353 : 403 - 412
12345