Forecast in foreign exchange markets

Authors
Baviera, R Pasquini, M Serva, M Vergni, D Vulpiani, A
Citation
R. Baviera et al., Forecast in foreign exchange markets, EUR PHY J B, 20(4), 2001, pp. 473-479
Citations number
31
Categorie Soggetti
Apllied Physucs/Condensed Matter/Materiales Science
Journal title
EUROPEAN PHYSICAL JOURNAL B
ISSN journal
14346028 → ACNP
Volume
20
Issue
4
Year of publication
2001
Pages
473 - 479
Database
ISI
SICI code
1434-6028(200104)20:4<473:FIFEM>2.0.ZU;2-R
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 m arket behavior. We show the existence of correlations and how information t heory can be relevant in this context.