Forecasting with a Universal Data Compression Algorithm:  The Forex Market Case

Armin Shmilovici Leib; Yoav Kahiri; Shmuel Hauser

Forecasting with a Universal Data Compression Algorithm: The Forex Market Case

Department of Business Administration

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

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.

Original language	English
Title of host publication	International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE 2004)
Editors	Theodore Simos, George Maroulis
Publisher	Taylor and Francis
Number of pages	4
Edition	1
State	Published - 2019

Cite this

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title = "Forecasting with a Universal Data Compression Algorithm: The Forex Market Case",

abstract = "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.",

author = "\{Shmilovici Leib\}, Armin and Yoav Kahiri and Shmuel Hauser",

year = "2019",

language = "English",

editor = "Theodore Simos and George Maroulis",

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publisher = "Taylor and Francis",

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Forecasting with a Universal Data Compression Algorithm: The Forex Market Case. / Shmilovici Leib, Armin; Kahiri, Yoav; Hauser, Shmuel.
International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE 2004). ed. / Theodore Simos; George Maroulis. 1. ed. Taylor and Francis, 2019.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Forecasting with a Universal Data Compression Algorithm

T2 - The Forex Market Case

AU - Shmilovici Leib, Armin

AU - Kahiri, Yoav

AU - Hauser, Shmuel

PY - 2019

Y1 - 2019

N2 - 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.

AB - 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.

M3 - Conference contribution

BT - International Conference of Computational Methods in Sciences and Engineering 2004 (ICCMSE 2004)

A2 - Simos, Theodore

A2 - Maroulis, George

PB - Taylor and Francis

ER -

Forecasting with a Universal Data Compression Algorithm: The Forex Market Case

Abstract

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