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Efficiency in foreign exchange markets

R. Baviera, M. Pasquini, M. Serva, D. Vergni, A. Vulpiani

cond-mat.dis-nnarXiv:cond-mat/9901225

Abstract

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.

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