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.

Forecast in foreign exchange markets

SERVA, Maurizio;
2001

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/11529
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