RT Journal Article
SR Electronic
A1 Mastný, Václav
T1 Testing the efficiency of high-frequency foreign exchange market
JF Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
YR 2015
VO 52
IS 6
SP 277
OP 286
DO 10.11118/actaun200452060277
UL https://acta.mendelu.cz/artkey/acu-200406-0023.php
AB This paper deals with the efficiency of the high-frequency foreign exchange market. The objective of this paper is to investigate whether standard statistical tests give the same results for time series resampled at intervals of 15.30 and 60 min. The data used for the purpose of this paper contain major currency pairs such as EUR/USD, GBP/USD and JPY/USD. The results of statistical tests indicate that the high frequency intervals (15-minute) are not random and should not be considered independent. On the other hand, tests with lower frequency rates (30 and 60 min) indicate rising randomness of the market.