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Cointegration and Exchange MarketEfficiency: An Analysis of High
Frequency Data
Adrian TraplettiAlois Geyer
Friedrich Leisch
Working Paper No. 52August 1999
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August 1999
SFBAdaptive Information Systems and Modelling in Economics and
Management Science
Vienna University of Economicsand Business Administration
Augasse 26, 1090 Wien, Austria
in cooperation withUniversity of Vienna
Vienna University of Technology
http://www.wu-wien.ac.at/am
This piece of research was supported by the Austrian Science Foundation(FWF) under grant SFB#010 (Adaptive Information Systems and
Modelling in Economics and Management Science).
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-
-
-
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-
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-
-
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0
100
200
300
400
0.1 0.0
Lag
0
100
200
300
400
0.1 0.0 0.1 0.2 0.3 0.4
Lag
ACF
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0
5
10
15
20
25
30
0.0
Lag
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- -
-
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0.0 0.1 0.2 0
USD
JP0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7
DEM
JPY
5000
6000
7000
8000
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0.00 0.02 0.04 0.06 0.0
USD
JP0.00 0.05 0.10 0.15 0.20
DEM
JPY
5000
6000
7000
8000
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-
-
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-
0 50 100 150
0
50
100
150
Operational Time
BusinessTime
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