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Folia Oeconomica Stetinensia

The Journal of University of Szczecin

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1898-0198
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Eurusd Intraday Price Reversal

Marta Wiśniewska
  • Gdansk School of Banking, Dolna Brama 8, 80-821 Gdańsk, Poland
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Published Online: 2015-06-03 | DOI: https://doi.org/10.1515/foli-2015-0014

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.

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

JEL classification: G11; G14

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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, 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. (CC BY-NC-ND 3.0)

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