Alpha Asymmetry in Foreign Exchange Markets: An Investigation of Exploitability

Abstract

This paper investigates the presence and persistence of alpha asymmetry in foreign exchange markets, where returns exhibit systematic differences between positive and negative movements. Using skewness/kurtosis analysis across major currency pairs, we develop detection methodologies and backtesting frameworks for cross-market validation.

Suggested Citation

BibTeX

@misc{farzulla2026_alpha_asymmetry_fx,
  author       = {Farzulla, Murad},
  title        = {Alpha Asymmetry in Foreign Exchange Markets: An Investigation of Exploitability},
  year         = {2026},
  howpublished = {ASCRI Working Paper DAI-2605},
  doi          = {10.2139/ssrn.6147567},
  url          = {https://systems.ac/2/DAI-2605}
}

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