Corrigendum to “High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature” [Big Data Res. 2 (1) (2015) 33–48]

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.

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

International Finance Discussion Paper ◽

10.17016/ifdp.2004.823 ◽

2004 ◽

Vol 2004 (823) ◽

pp. 1-42 ◽

Cited By ~ 4

Author(s):

Alain P. Chaboud ◽

◽

Sergey V. Chernenko ◽

Edward Howorka ◽

Raj S. Krishnasami Iyer ◽

...

Keyword(s):

Foreign Exchange ◽

High Frequency ◽

Foreign Exchange Market ◽

Exchange Market ◽

Trading Activity ◽

Frequency Effects ◽

High Frequency Effects

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Testing the efficiency of high-frequency foreign exchange market

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis ◽

10.11118/actaun200452060277 ◽

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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Selected aspects of modelling of foreign exchange rates with neural networks

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis ◽

10.11118/actaun200553030109 ◽

2005 ◽

Vol 53 (3) ◽

pp. 109-116

Author(s):

Václav Mastný

Keyword(s):

Neural Networks ◽

Foreign Exchange ◽

High Frequency ◽

Foreign Exchange Market ◽

Foreign Exchange Rates ◽

Exchange Market ◽

Training Set ◽

Us Dollar ◽

Japanese Yen ◽

Hidden Neurons

This paper deals with forecasting of the high-frequency foreign exchange market with neural networks. The objective is to investigate some aspects of modelling with neural networks (impact of topology, size of training set and time horizon of the forecast on the performance of the network). The data used for the purpose of this paper contain 15-minute time series of US dollar against other major currencies, Japanese Yen, British Pound and Euro. The results show, that performance of the network in terms of correct directorial change is negatively influenced by increasing number of hidden neurons and decreasing size of training set. The performance of the network is influenced by sampling frequency.

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