<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are automated high frequency trades (HFT). The study reveals that the mean reversion is present in the intraday EURUSD. ADF test rejects unit root. The average of the deviation of EURUSD from its (moving) mean is close to zero. Furthermore when short and long positions are simultaneously open, the average maximum return achieved through 24 hour period is similar, providing yet another evidence for mean reversion and lack of weak form of market efficiency.</p></abstract>

The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are automated high frequency trades (HFT). The study reveals that the mean reversion is present in the intraday EURUSD. ADF test rejects unit root. The average of the deviation of EURUSD from its (moving) mean is close to zero. Furthermore when short and long positions are simultaneously open, the average maximum return achieved through 24 hour period is similar, providing yet another evidence for mean reversion and lack of weak form of market efficiency.

Eurusd Intraday Price Reversal

Gdansk School of Banking, Dolna Brama 8, 80-821 Gdańsk, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Eurusd Intraday Price Reversal"}

The study investigates the mean reversion in 1-minute EURUSD. Intraday patters in FX seem of particular interest as more and more trades in the FX market are...

Eurusd Intraday Price Reversal

Publicado en línea: 03 jun 2015

Páginas: 152 - 162

Recibido: 23 sept 2014

Aceptado: 24 oct 2014

DOI: https://doi.org/10.1515/foli-2015-0014

Palabras clave
high frequency, intraday, price, EURUSD, reversal, mean, market efficiency

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Eurusd Intraday Price Reversal

Publicado en línea: 03 jun 2015

Páginas: 152 - 162

Recibido: 23 sept 2014

Aceptado: 24 oct 2014

DOI: https://doi.org/10.1515/foli-2015-0014

Palabras clavehigh frequency, intraday, price, EURUSD, reversal, mean, market efficiency

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Palabras clave
high frequency, intraday, price, EURUSD, reversal, mean, market efficiency