Alpha Asymmetry in Foreign Exchange Markets — Detection and Exploitation: Evidence from EUR/JPY and Cross-Market Analysis

Alpha Asymmetry in Foreign Exchange Markets: Detection and Exploitation This working paper investigates distributional asymmetries in alpha signals within foreign exchange markets. Using EUR/JPY forex data spanning 2015–2025, we analyze five alpha types—tail, fast, pricing, coverage, and hedge—measuring skewness, kurtosis, and custom asymmetry indices. Key Findings: Significant right-skewness in tail alpha (5.05), fast alpha (2.12), and pricing alpha (1.53) All alpha types reject normality at conventional significance levels Asymmetry-based trading achieves Sharpe ratio of 0.154, outperforming momentum strategies Cross-market validation confirms forex pairs exhibit stronger exploitable patterns than equities This research forms part of the Farzulla Research Adversarial Systems Research program, investigating friction dynamics in complex systems where competing interests generate structural conflict. Version: 1.0.0 (December 2025)License: CC-BY-4.0