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Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm
16 references·2 citing·46 second hop
Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm (2008)Measuring the Efficiency of the Intraday …Handbook of the Economics of Finance (2013)Handbook of the Economics of …The New Palgrave dictionary of economics (2008)The New Palgrave dictionary o…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…The Kappa Statistic in Reliability Studies: Use, Interpretation, and Sample Size Requirements (2005)The Kappa Statistic in Reliab…The Purchasing Power Parity Debate (2004)The Purchasing Power Parity D…The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…Efficient market hypothesis and forecasting (2003)Efficient market hypothesis a…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Universal Portfolios (1991)Universal PortfoliosEfficient Capital Markets: II (1991)Efficient Capital Markets: IISome anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…A statistical test of market efficiency based on information theory (2023)A statistical test of market …Can social microblogging be used to forecast intraday exchange rates? (2013)Can social microblogging be u…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Empirical exchange rate models of the seventies (1983)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Heterogeneous Agent Models in Economics and Finance (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Expectations and Exchange Rate Dynamics (1976)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Gravity with Gravitas: A Solution to the Border Puzzle (2003)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The VAT in Developing and Transitional Countries (2007)Identifying FDI spillovers (2017)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Asymmetric causality tests with an application (2011)Evaluating multiple classifiers for stock price direction prediction (2015)Applications of deep learning in stock market prediction: Recent progress (2021)A Coefficient of Agreement for Nominal Scales (1960)The Measurement of Observer Agreement for Categorical Data (1977)STATISTICAL METHODS FOR ASSESSING AGREEMENT BETWEEN TWO METHODS OF CLINICAL MEASUREMENT (1986)Method agreement analysis: A review of correct methodology (2010)Psychometric properties of the PTSD Checklist for Diagnostic and Statistical Manual of Mental Disorders–Fifth Edition (PCL-5) in veterans. (2015)New WHO prevalence estimates of mental disorders in conflict settings: a systematic review and meta-analysis (2019)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Culture and Institutions: Economic Development in the Regions of Europe (2010)Neighborhoods and health (2010)Growth and Structural Transformation (2013)
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References

  • 1991Efficient Capital Markets: II5,346 cited
  • 2005The Kappa Statistic in Reliability Studies: Use, Interpretation, and Sample Size Requirements4,093 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 2006Analysis of Financial Time Series2,348 cited
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  • 2004The Purchasing Power Parity Debate1,034 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
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547 cited
  • 2003Efficient market hypothesis and forecasting516 cited
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    • 2023A statistical test of market efficiency based on information theory27 cited
    • 2013Can social microblogging be used to forecast intraday exchange rates?27 cited