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.
@misc{farzulla2026alphaasymmetryfx,
author = {Farzulla, Murad},
title = {Alpha Asymmetry in Foreign Exchange Markets: An Investigation of Exploitability},
year = {2026},
howpublished = {Farzulla Research Working Paper DAI-2605},
doi = {10.2139/ssrn.6147567},
url = {https://farzulla.org/papers/alpha-asymmetry-fx}
}