document: Antipersistent Markov behavior in foreign exchange markets A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency -LRB- tick by tick -RRB- 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
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