scholarly journals The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

2004 ◽  
Author(s):  
Alain Chaboud ◽  
Sergey Chernenko ◽  
Edward Howorka ◽  
Raj S.K. Iyer ◽  
David Liu ◽  
...  
Keyword(s):  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Trading Activity ◽  
Frequency Effects ◽  
High Frequency Effects

scholarly journals THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET

2009 ◽  
Vol 12 (08) ◽  
pp. 1105-1123 ◽  
Author(s):  
DANIEL J. FENN ◽  
SAM D. HOWISON ◽  
MARK MCDONALD ◽  
STACY WILLIAMS ◽  
NEIL F. JOHNSON
Keyword(s):  
Market Efficiency ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Market Participants ◽  
Pricing Efficiency ◽  
Arbitrage Opportunities ◽  
Self Consistent

We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during more liquid hours. We demonstrate further that the number of arbitrage opportunities has decreased in recent years, implying a corresponding increase in pricing efficiency. Using trading simulations, we show that a trader would need to beat other market participants to an unfeasibly large proportion of arbitrage prices to profit from triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self-consistent and provide a limited verification of market efficiency.

scholarly journals Testing the efficiency of high-frequency foreign exchange market

2004 ◽  
Vol 52 (6) ◽  
pp. 277-286
Author(s):  
Václav Mastný
Keyword(s):  
Time Series ◽  
Foreign Exchange ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Statistical Tests ◽  
The Other ◽  
Exchange Market ◽  
Other Hand

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.

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