Forecast in foreign exchange markets

R. Baviera, M. Pasquini, M. Serva, D. Vergni and A. Vulpiani
Additional contact information
R. Baviera: Departement Finance et Économie, Groupe HEC, 78351 Jouy-en-Josas Cedex, France
M. Pasquini: Dipartimento di Matematica, Università dell'Aquila & I.N.F.M. Unità dell'Aquila, 67100 Coppito, L'Aquila, Italy
M. Serva: Dipartimento di Matematica, Università dell'Aquila & I.N.F.M. Unità dell'Aquila, 67100 Coppito, L'Aquila, Italy
D. Vergni: Dipartimento di Fisica, Università di Roma “La Sapienza”& I.N.F.M. Unità di Roma 1, 00185 P.le A. Moro 2, Roma, Italy
A. Vulpiani: Dipartimento di Fisica, Università di Roma “La Sapienza”& I.N.F.M. Unità di Roma 1, 00185 P.le A. Moro 2, Roma, Italy

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 473-479

Abstract: 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.

Keywords: PACS. 89.65.Gh Economics; business; and financial markets – 65.40.Gr Entropy and other thermodynamical quantities (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s100510170226

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