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

页码：565 / 576

页数：12

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