https://doi.org/10.1007/s100510170226
Forecast in foreign exchange markets
1
Departement Finance et Économie, Groupe HEC, 78351 Jouy-en-Josas Cedex, France
2
Dipartimento di Matematica, Università dell'Aquila & I.N.F.M. Unità dell'Aquila, 67100 Coppito, L'Aquila, Italy
3
Dipartimento di Fisica, Università di Roma "La Sapienza"& I.N.F.M. Unità di Roma 1, 00185 P.le A. Moro 2, Roma,
Italy
Corresponding author: a bavierar@hec.fr
Received:
5
October
2000
Published online: 15 April 2001
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.
PACS: 89.65.Gh – Economics, business, and financial markets / 65.40.Gr – Entropy and other thermodynamical quantities
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001