Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
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Publication:1020542
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
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 (2)
A statistical test of market efficiency based on information theory ⋮ A continuous time Bayesian network classifier for intraday FX prediction
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