Time evolution of forex inefficiencies

Any statistical test of market inefficiency requires a finite time of observation. The series of notes surveying historical inefficiencies of forex, posted here under the rhetorical title "Have the forex markets been efficient?", were based on data covering time interval of about five and a half years. In many cases, significant predictive correlations have been detected, having survived the time averaging process. To be of practical value for forecasting and algorithmic trading, these features have to be expectable in the future, at least in principle. A rare but huge event and a frequent one of a moderate magnitude may leave the same trace on the autocorrelation. At the very least, one must ensure that these time-averaged signals are not merely diluted residues of one or two rare events. The focus of this series of notes is time continuity, time evolution, and analysis of the origins of the now uncovered historically significant forex inefficiencies.

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1 Intraday alternation of trending and mean-reversion in FX Forex Automaton
2 Japanese yen (JPY) intraday seasonality overview, 2003-2010 Forex Automaton
3 CHF/JPY intraday seasonality overview, 2003-2010 Forex Automaton
4 GBP/JPY intraday seasonality overview, 2003-2010 Forex Automaton
5 EUR/JPY intraday seasonality overview, 2003-2010 Forex Automaton
6 EUR/CHF intraday seasonality overview, 2003-2010 Forex Automaton
7 USD/CHF intraday seasonality overview, 2003-2010 Forex Automaton
8 AUD/USD intraday seasonality overview, 2003-2010 Forex Automaton
9 USD/CAD intraday seasonality overview, 2003-2010 Forex Automaton
10 GBP/USD intraday seasonality overview, 2003-2010 Forex Automaton
11 USD/JPY intraday seasonality overview, 2003-2010 Forex Automaton
12 AUD/JPY intraday seasonality overview, 2003-2010 Forex Automaton
13 EUR/USD intraday seasonality overview, 2003-2010 : Register to read more... Forex Automaton
14 CHF/JPY and EUR/AUD leading indicator history, 2002-2009 Forex Automaton
15 AUD/JPY and GBP/USD leading indicator history, 2002-2009 Forex Automaton
16 AUD/JPY and EUR/CHF leading indicator history, 2002-2009 Forex Automaton
17 Patterns of financial crisis: USD/CAD in 2007-2009. Forex Automaton
18 Patterns of financial crisis: GBP/CHF 2007-2009. Forex Automaton
19 Patterns of financial crisis: CHF/JPY 2007-2009 Forex Automaton
20 Patterns of financial crisis: USD/JPY, SP500 and Nikkei Forex Automaton
 
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