• DOI:10.1007/S10614-008-9153-3
Corpus ID: 17234503

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 Yoav Kahiri and I. Ben-Gal and S. Hauser},
  journal={Computational Economics},
  year={2009},
  volume={33},
  pages={131-154}
}

A. Shmilovici, Yoav Kahiri, +1 author S. Hauser

Published 2009

Economics

Computational Economics

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… CONTINUE READING

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