Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm

@article{Shmilovici2009MeasuringTE,
  title={Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm},
  author={A. Shmilovici and Y. Kahiri and I. Ben-Gal and Shmuel Hauser},
  journal={Computational Economics},
  year={2009},
  volume={33},
  pages={131-154}
}
Universal compression algorithms can detect recurring patterns in any type of temporal data—including financial data—for the purpose of compression. The universal algorithms actually find a model of the data that can be used for either compression or prediction. We present a universal Variable Order Markov (VOM) model and use it to test the weak form of the Efficient Market Hypothesis (EMH). The EMH is tested for 12 pairs of international intra-day currency exchange rates for one year series of… Expand
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