Eurusd Intraday Price Reversal

• Authors: Marta Wiśniewska
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

high frequency; intraday; price; EURUSD; reversal; mean; market efficiency; G11; G14

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 14
• Issue: 2
• Pages: 152-162

Dates

published

2014-12-01

received

2014-09-23

accepted

2014-10-24

online

2015-06-03

Contributors

author

Marta Wiśniewska

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

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Identifiers

DOI

10.1515/foli-2015-0014