title: Antipersistent Markov behavior in foreign exchange markets
abstract: A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency (tick by tick) data. The antipersistent Markov behavior of log-price fluctuations of given size implies, in principle, the possibility of a statistical forecast. We introduce and measure the available information of the quote sequence, and we show how it can be profitable following a particular trading rule
keyphrases: antipersistent Markov behavior foreign exchange markets efficiency US dollar Deutsche mark exchange rates log-price fluctuations statistical forecast forecasting quote sequence trading rule high-frequency data Shannon entropy