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

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

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

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

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures