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Author
Wiśniewska Marta Anastazja (WSB University in Gdańsk, Poland)
Title
EUR/USD Intraday Volatility vs Trading Results and Market Efficiency
Zmienność kursu EUR/USD w ciągu doby a strategia inwestycyjna i efektywność rynku
Source
Argumenta Oeconomica Cracoviensia, 2015, no 13, s. 33-42, bibliogr. 23 poz.
Keyword
Rynek walutowy, Zmienność, Efektywność, Stopa zwrotu, Euro, Dolar amerykański (USD)
Foreign Exchange (FX), Variability, Effectiveness, Rate of return, Euro, United States dollar (USD)
Note
summ., streszcz.
Abstract
Praca porusza problem efektywności rynku walutowego poprzez ukazanie wyników inwestycyjnych dobowej strategii inwestycji. Badanie zostało przeprowadzone na podstawie danych wysokiej częstotliwości, tj. jednominutowych danych kursu kupna i sprzedaży EUR/USD. W pracy wykazano, że strategia oparta na założeniu wysokiej zmienności i tendencji powrotu do średniej może zapewnić doskonałe wyniki inwestycyjne. Jednocześnie stwierdzono, że z uwagi na powyższe wyniki rynek walutowy nie jest efektywny w krótkim, dobowym kontekście. (abstrakt oryginalny)

The paper tackles the problem of the efficiency of the foreign exchange market by examining selected intraday trading strategies. The research was conducted based on high-frequency data, i.e. one minute EUR/USD bid and ask rates. The paper demonstrates that a trading strategy based on high volatility and a mean-reversion pattern can provide outstanding results. This, in turn, is evidence against market efficiency, at least in the intraday horizon. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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Bibliography
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ISSN
1642-168X
Language
eng
URI / DOI
http://dx.doi.org/10.15678/AOC.2015.1302
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