We perform a statistical study of weak efficiency in Deutschemark/US dollar exchange rates using high frequency data. The presence of correlations in the returns sequence implies the possibility of a statistical forecast of market behavior. We show the existence of correlations and how information theory can be relevant in this context.
Titolo: | Forecast in foreign exchange markets | |
Autori: | ||
Data di pubblicazione: | 2001 | |
Rivista: | ||
Abstract: | We perform a statistical study of weak efficiency in Deutschemark/US dollar exchange rates using high frequency data. The presence of correlations in the returns sequence implies the possibility of a statistical forecast of market behavior. We show the existence of correlations and how information theory can be relevant in this context. | |
Handle: | http://hdl.handle.net/11697/11529 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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