Measuring the efficiency of the intraday Forex market with a universal data compression algorithm

DOI10.1007/s10614-008-9153-3zbMath1161.91467OpenAlexW2111365291MaRDI QIDQ1020542

Armin Shmilovici, Shmuel Hauser, Irad Ben-Gal, Yoav Kahiri

Publication date: 29 May 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-008-9153-3

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

A statistical test of market efficiency based on information theory, A continuous time Bayesian network classifier for intraday FX prediction

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