Armin Shmilovici Leib

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.