We use the context tree algorithm of Rissanen, for compression and prediction of time series. The weak form of the EMH is tested for 12 pairs of international intra-day currency exchange rates for one year series of 1,5,10,15,20,25 and 30 minutes. Statistically significant compression is detected in all the time-series, yet, the Forex market turns out to be efficient most of the time, and the short periods of inefficiency are not sufficient generating excess profit.
|Title of host publication||International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE 2004)|
|Editors||Theodore Simos, George Maroulis|
|Number of pages||4|
|State||Published - 2019|