Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Folia Oeconomica Stetinensia

The Journal of University of Szczecin

2 Issues per year

Open Access
See all formats and pricing
More options …

Eurusd Intraday Price Reversal

Marta Wiśniewska
Published Online: 2015-06-03 | DOI: https://doi.org/10.1515/foli-2015-0014


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: high frequency; intraday; price; EURUSD; reversal; mean; market efficiency

JEL classification: G11; G14


  • Andersen, T.G., Bollerslev, T., Diebold, F.X. & Vega, C. (2003). Micro effects of macro announcements: real time price discovery in foreign exchange. American Economic Review, 93 (1), 38–62.CrossrefGoogle Scholar

  • Andersen, T.G., Bollerslev, T., Diebold, F.X. & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73, 251–277.Google Scholar

  • BIS (2011). Bank for International Settlements. High-frequency trading in the foreign exchange market, BIS, September.Google Scholar

  • Boero, G. & Marrocu, E. (2002). The performance of non linear exchange rate models: A forecasting comparison. Journal of Forecasting, 21, 513–542.Google Scholar

  • Bilson, J.F.O. (1978). Rational Expectations and the Exchange Rate. In: The Economics of Exchange Rates: Selected Studies, eds. J.A. Frenkel, H.G. Johnson. Reading, MA: Addison-Wesley Press.Google Scholar

  • Cartea, A. & Figueroa, M.G. (2005). Pricing in Electricity Markets: a mean reverting jump diffusion model with seasonality. Applied Mathematical Finance, 12, 313–335.Google Scholar

  • Dempster, M.A.H., Payne, T.W., Romahi, Y. & Thompson, G.W.P. (2001). Computational learning techniques for intraday FX trading using popular technical indicators. IEEE Transactions on Neural Networks, 12 (4), 744–754.CrossrefGoogle Scholar

  • Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics. Journal of Political Economy, 84 (6), 1161–1176.Google Scholar

  • Faust, J., Rogers, J.H., Wang, S.Y.B. & Wright, J.H. (2007). The high-frequency response of exchange rates and interest rates to macroeconomic announcements. Journal of Monetary Economics, 54, 1051–1068.Google Scholar

  • Frenkel, J.A. (1976). A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence. Scandinavian Journal of Economics, 78 (2), 200–224.CrossrefGoogle Scholar

  • Kamruzzaman, J. & Sarker, R.A. (2004). ANN based forecasting of foreign currency exchange rates. Neural Information Processing – Letters and Reviews, 3 (2), 49–58.Google Scholar

  • IOSCO (2011). International Organization of Securities Commissions, Regulatory issues raised by the impact of technological changes on market integrity and efficiency. Consultation report by the Technical Committee of the IOSCO, CR02/11, July 2011.Google Scholar

  • Lee, S. (2010). High-frequency trading in FX: open for business. Aite Group Impact Note, April.Google Scholar

  • Meese, R.A. & Rogoff, K.S. (1983). Empirical exchange rate models of the seventies. Do they fit out of sample? Journal of International Economics, 14 (1–2), 3–24.CrossrefGoogle Scholar

  • Mussa, M. (1976). The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating. Scandinavian Journal of Economics, 78(2), 229–248.CrossrefGoogle Scholar

  • Opalski, K., Kacprzak, K., Maciejczyk, K. & Pawlowski, M. (2011). Modelowanie polskiego rynku energii elektrycznej. Uniwersytet Warszawski, Matematyka Stosowana, T. 1/54.Google Scholar

  • Taylor, A.M. & Taylor, M.P. (2004). The purchasing power parity debate. The Journal of Economic Perspectives, 18, 135–158.Google Scholar

About the article

Received: 2014-09-23

Accepted: 2014-10-24

Published Online: 2015-06-03

Published in Print: 2014-12-01

Citation Information: Folia Oeconomica Stetinensia, Volume 14, Issue 2, Pages 152–162, ISSN (Online) 1898-0198, DOI: https://doi.org/10.1515/foli-2015-0014.

Export Citation

© University of Szczecin. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. BY-NC-ND 3.0

Comments (0)

Please log in or register to comment.
Log in